Dissertations / Theses: 'Auto regression'

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Medeiros, Patrick Valverde. "Análise da evapotranspiração de referência a partir de medidas lisimétricas e ajuste estatístico de estimativas de nove equações empírico-teóricas com base na equação de Penman-Monteith." Universidade de São Paulo, 2008. http://www.teses.usp.br/teses/disponiveis/18/18138/tde-21052008-090008/.

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A quantificação da evapotranspiração é uma tarefa essencial para a determinação do balanço hídrico em uma bacia hidrográfica e para o estabelecimento do déficit hídrico de uma cultura. Nesse sentido, o presente trabalho aborda a análise da evapotranspiração de referência (ETo) para a região de Jaboticabal-SP. O comportamento do fenômeno na região foi estudado a partir da interpretação de dados de uma bateria de 12 lisímetros de drenagem (EToLis) e estimativas teóricas por 10 equações diferentes disponíveis na literatura. A análise estatística de correlação indica que as estimativas da ETo por equações teóricas comparadas à EToLis medida em lisímetro de drenagem não apresentaram bons índices de comparação e erro. Admitindo que a operação dos lisímetros não permitiu a determinação da ETo com boa confiabilidade, propôs-se um ajuste local das demais metodologias de estimativa da ETo, através de auto-regressão (AR) dos ruídos destas equações em comparação com uma média anual estimada pela equação de Penman-Monteith (EToPM), tomada como padrão, em períodos quinzenal e mensal. O ajuste através de regressão linear simples também foi analisado. Os resultados obtidos indicam que a radiação efetiva é a variável climática de maior importância para o estabelecimento da ETo na região. A estimativa pela equação de Penman-Monteith apresentou excelente concordância com as equações de Makkink (1957) e do balanço de energia. Os ajustes locais propostos apresentaram excelentes resultados para a maioria das equações testadas, dando-se destaque às equações da radiação solar FAO-24, de Makkink (1957), de Jensen-Haise (1963), de Camargo (1971), do balanço de radiação, de Turc (1961) e de Thornthwaite (1948). O ajuste por regressão linear simples é de mais fácil execução e apresentou excelentes resultados.
The quantification of the evapotranspiration is an essential task for the determination of the water balance in a watershed and for the establishment of the culture´s water deficit. Therefore, the present work describes the analysis of the reference evapotranspiration (ETo) for the region of Jaboticabal-SP. The phenomenon behavior in the region was studied based on the interpretation of 12 drainage lysimeters data (EToLis) and on theoretical estimates for 10 different equations available in the Literature. An statistical analysis indicated that the theoretical ETo estimates compared with the EToLis did not present good indices of comparison and error. Admitting that the lysimeters operation did not allow a reliable ETo determination, a local adjustment of the theoretical methodologies for ETo estimate was considered. An auto-regression (AR) of the noises of these equations in comparison with the annual average estimate for the Penman-Monteith equation (EToPM), taken as standard, has been performed in fortnightly and monthly periods. The adjustment through simple linear regression has also been analyzed. The obtained results indicate that the effective radiation is the most important climatic variable for the establishment of the ETo in the region. The Penman-Monteith estimate presented excellent correlation to the estimates by Makkink (1957) equation and the energy balance. The local adjustments presented excellent results for the majority of the tested equations, specially for the solar radiation FAO-24, Makkink (1957), Jensen-Haise (1963), Camargo (1971), radiation balance, Turc (1961) and Thornthwaite (1948) equations. The adjustment by simple linear regression is of easier execution and also presented excellent results.

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2

Alfuhaid, Abdulaziz Ataallah. "AN AGENT-BASED SYSTEMATIC ENSEMBLE APPROACH FOR AUTO AUCTION PREDICTION." University of Akron / OhioLINK, 2018. http://rave.ohiolink.edu/etdc/view?acc_num=akron1542560217326084.

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Hagos, Tesfamichael Marikos. "Estimation of phases for compliant motion : Auto-regressive HMM, multi-class logistic regression, Learning from Demonstration (LfD), Gradient descent optimization." Thesis, Luleå tekniska universitet, Rymdteknik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:ltu:diva-65613.

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4

Dhankhar, Rashmi. "Effects of expansionary monetary policy shocks on financial variables." Thesis, Manhattan, Kan. : Kansas State University, 2010. http://hdl.handle.net/2097/3517.

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5

Alkan, Feyza. "The Sustainability Analysis Of Turkish Domestic Debt." Master's thesis, METU, 2009. http://etd.lib.metu.edu.tr/upload/2/12611159/index.pdf.

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In this thesis, sustainability of the Turkish domestic debt is analyzed within the &ldquo
sustainability indicators&rdquo
perspective. The fiscal targets of Maastricht Treaty (1992) are imposed on the Turkish fiscal policy and it is investigated whether these targets are the indicators for sustainability in the medium term. Uctum and Wickens&rsquo
(2000) methodology is followed in assessing the sustainability of the current fiscal policy and the efficiency of the Maastricht Treaty (1992) targets. Moreover, the vector auto regression (VAR) approach of Garcia and Rigobon (2004) is utilized in deriving the econometric model for the debt dynamics of Turkey. The results suggest that domestic debt of Turkey has been unsustainable within 1994-2008. Furthermore, the Maastricht Treaty (1992) fiscal targets are binding for Turkey and gaining more significance in the recent years.

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6

Hentic-Giliberto, Michelle. "Les caractéristiques des auto-entrepreneurs bretons : comparaison avec les autres entrepreneurs." Thesis, Brest, 2014. http://www.theses.fr/2014BRES0023/document.

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Alors que les mutations s’accélèrent et l’instabilité semble permanente, l’esprit d’entreprise est valorisé par les acteurs publics et privés. En France, l’auto-entrepreneur, créé par la loi n° 2008-776 du 4 août 2008, favorise l’accès à l’entrepreneuriat au plus grand nombre. Depuis 2009, les créations d’entreprises comptent pour plus de moitié d’auto-entrepreneurs. Aussi, l’existence d’une dynamique entrepreneuriale spécifique à ces créations se pose. La recherche s’inscrit dans une approche constructiviste d’essai d’explication du phénomène par l’identification des caractéristiques des auto-entrepreneurs en comparaison aux autres entrepreneurs. Elle prend racine dans l’examen de 700 dossiers d’évaluation de projets en phase amont de la création/ reprise dans le sud Finistère, soit, de fin 2008 à début 2012 près d’1% des créations / reprises en Bretagne. L’appui sur les paradigmes entrepreneuriaux amène à rapprocher des standards théoriques génériques à des constatations issues du terrain. Une approche hypothético-déductive permet d’identifier les caractéristiques des auto-entrepreneurs en comparaison aux autres entrepreneurs. L’analyse qualitative thématique d’entretiens biographiques d’auto-entrepreneurs triangule et confirme les résultats. La recherche questionne le paradigme de la création/ obtention de valeur nouvelle ou existante. Elle interroge le processus schumpétérien d’innovation créatrice versus destructrice, et sa possible mobilisation dans une lecture du succès de l’auto-entrepreneur. Elle propose une approche effectuale de la création en auto-entrepreneuriat. Elle confirme le rôle de l’accompagnement en phase amont de la création/ reprise d’entreprises
While mutations accelerate and instability seems to be permanent, entrepreneurship is valued by public and private actors. In France, the auto-entrepreneur, created by Law No. 2008-776 of 4 August 2008, promotes access to entrepreneurship to greater numbers. Since 2009, the auto-entrepreneurs account for more than half of self-employed entrepreneurs. Also, the existence of a specific entrepreneurial approach to business creation projects under this status arises. This research is part of a constructivist approach to explain the phenomenon by identifying the characteristics of auto-entrepreneurs in comparison to other entrepreneurs. It is rooted in the examination of 700 projects evaluated in upstream phase of the creation / buyout in the southern Finistère, from late 2008 to early 2012, almost 1% of the creation / buyout firms on the Brittany area. The support of entrepreneurial paradigms leads to closer generic theoretical standard to findings from the field. A counterfactual approach identifies the characteristics of auto-entrepreneurs in comparison to other entrepreneurs. Thematic qualitative analysis of biographical interviews of auto-entrepreneurs triangulates and confirms the results. The research questions the paradigm of creating / obtaining new or existing value. She questions the Schumpeterian process of creative versus destructive innovation, and its possible mobilization in a reading of the success of the auto-entrepreneur. It offers effectual approach creation depending on the status of auto-entrepreneur. It confirms the role of the accompanying upstream phase of the creation / buyout business

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7

Akkoyunlu, Sule. "Turkish consumption and saving." Thesis, University of Oxford, 2000. http://ora.ox.ac.uk/objects/uuid:0ba100a8-0a19-40f5-a7c6-c18aa010c130.

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The principle aim of this thesis is to construct a consumption function for Turkey for policy analysis using the annual State Planning Organisation (SPO) time-series data. This study commences from 1962 and extends until the end of 1994, when a financial crisis occurred in Turkey. It attempts to analyse not only the decline in the private savings rate during the first half of the 1980s, but also the significant rise from 1986 onwards. The thesis starts with an introduction which explodes the main research objectives, considers the existing consumption theories and extentions, records the main data features to be explained, briefly overviews the modelling strategy and discusses the basic considerations of the research and gives the structure of thesis. A literature survey on the theory of consumption is given in Chapter 2. The LifeCycle/ Permanent-Income hypothesis is considered as central to the two mainstream approach. : the Euler approach and the solved-out approach. These approaches are further extended by considering uncertainty and precautionary saving, credit restrictions, saving and leisure. habit or costs of adjustments and the durability of goods, the role of assets and asset prices. financial liberalisation and demographic factors. Finally, comparisons between the two approaches arc made in the conclusion of that chapter. Theory can deliver concepts with permanent relationships in economics, but it should be supported by empirical findings, since theory alone is insufficient to determine the actual economic relationship. Hence, Chapter 3 focuses on theoretical and appl ied modelling issues to construct a theory-consistent, congruent and encompassing consumption function. Congruency implies that the empirical model matches the available evidence in al l measured attributes (i.e., it is consistent with the theory from which it was derived, has unexplained components that arc innovations against available information, has basic parameters that are constant, is data admissible, and where any conditioning variables are weakly exogenous for the parameters of interest). Encompassing denotes that the model of interest can account for the result of rival models of the same phenomena. I also define structure as the set of invariant features of the economic mechanism. A parameter can be structural only if it is invariant for an extension of the sample period (constant), is invariant with respect to changes elsewhere in the economy (regime shifts), and is invariant over extensions of the information set (adding more variables). Chapter 4 examines the small-sample properties of the statistical methods used by means of Monte Carlo simulations. The informativeness of the data is investigated in an unrestricted Vector Auto-regression (VAR) with small-samples of noisy data combined with a high real growth rate and nominal inflation. This is to see how the relative drift dominates in explaining the informativeness of the data. The Monte results are summarised by using response surfaces to relate the biases to sample size. The ratio of standard deviations to standard errors in each equation is also analysed. The strong impacts of the system error variances in these response surfaces indicate the importance of high variances in VA Rs. Furthermore, I found noise, and a function of the signal to noise ratio. and cross-equation correlation had a large impact, but less effect from the relative drift. Chapter 5 presents an overview of the Turkish Economy, particularly during the sample period. by pointing out the lessons to be drawn from the stabilisation experiments and their effect on the private sector saving decision in Turkey. The aim of Chapter 6 is to get nominal housing wealth and housing price data from the available data, such as the nominal private disposable income. nominal private investment in the housing sector and the consumer price index, since housing wealth is claimed to be a major determinant of private savings in Turkey. Chapter 7 aims to reveal the problems of Turkish data by analysing the history of the Turkish a1ional Accounts to construct a data-base for estimating a consumption function for Turkey. GDP by expenditure is constructed from five different sources. Turkish accounting residuals are allocated by applying the linear regression approach. The results show that GDP-by-output is more reliable than the GDP-by-expenditure measure for Turkey. Chapter 8 is devoted to the time series modelling and evidence. Previous findings on consumption for Turkey have been formulated using conventional econometric techniques with a static estimation methodology within the Permanent Income Hypothesis (PIH). I adopted the equilibrium correction model (ECM) solved-out consumption function approach and tried to incorporate the effects of age. precautionary behaviour in the case of uncertainty, credit constraints, habits or costs of adjustments. and the durability of goods for developing belier understanding of private sector savings behaviour in Turkey. The modelling is based on the dynamic econometric methodology that involves the estimation of a general unrestricted model (GUM). a co-integration and long-run analysis, and the simplification of the GUM to a parsimonious dynamic model that is deduced by applying a sequential testing procedure. The final model is congruent: It matches the available evidence in all measured attributes and forecasts well, has white noise errors and constant parameters, and encompasses the VAR model equation as well as other specifications in previous models. Moreover, the model has a structural interpretation. The results of the final model reveal strong positive effects of the real interest rate. inflation and inflation uncertainty, a strong negative effect of population aged 15-44, a positive effect after one lag period of the change in the average propensity to consume. which represents the effects of expectations, habits or adjustment costs, in addition to the significant effect of the inverse of per capita Private Disposable Income and the change in housing wealth to income ra1io on the private average propensity to consume in Turkey. These findings offer an explana1ion for the salient features of the Turkish consumption pattern observed from 1he lime series data. These results also provide some policy implications such that inOation control should be strengthened and improved for consumption stabilisation. Furthermore. interest rate policy also has an important role to play in the savings process in Turkey. The research on small-sample properties of 1hc statistical methods by means of Monte Carlo Simulations strengthens the results of the empirical model. These. confirm the poor determination of intercepts in I(I) VARs, and the corresponding advantages of an equilibrium correction model formulation. Furthermore. the insignificance the of irrelevant dynamics should encourage model builders to use a dynamic econometric methodology to develop parsimonious models, such as used for building a consumption model for Turkey in this thesis.

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8

Fransson, Martin. "Identification of a Genetic Network in the Budding Yeast Cell Cycle." Thesis, Linköping University, Department of Electrical Engineering, 2004. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-2389.

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By using AR/ARX-models on data generated by a nonlinear differential equation system representing a model for the cell-cycle control system in budding yeast, the interactions among proteins and thereby also to some extent the genes, are sought. A method consisting of graphical analysis of differences between estimates from two local linear models seems to make it possible to separate a set of linear equations from the nonlinear system. By comparing the properties of the estimations in the linear equations a set of approximate equations corresponding well to the real ones are found.

A NARX model is tested on the same system to see whether it is possible to find the dependencies in one of the nonlinear differential equations. This approach did, for the choice of model, not work.

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9

Kollár, Miroslav. "Macrofinance Modeling from Asset Allocation Perspective." Doctoral thesis, Vysoká škola ekonomická v Praze, 2006. http://www.nusl.cz/ntk/nusl-79535.

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The dissertation dealt with the interaction between the macro-economy and financial markets. In the first part of the dissertation I laid down a general case for macro-based active asset allocation. In the main part of my dissertation, after a theoretical introduction to term structure models and macrofinance models, I developed a VAR macrofinance model of the term structure of interest rates for the Czech economy based on the dynamic interpretation of the Nelson-Siegel model, and showed the use of such modeling framework in bond-yield prediction and asset allocation.

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10

Tiftik, Mehmet Emre. "Assessing Domestic Debt Sustainability Of Turkey With A Risk Management Approach." Master's thesis, METU, 2006. http://etd.lib.metu.edu.tr/upload/3/12607632/index.pdf.

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This thesis analyzes the debt dynamics of Turkey and assesses the sustainability of fisscal policy. The assessment of fiscal policy follows the methodology of Garcia and Rigobon (2004). This approach focuses on the concept of debt sustainability from a risk management perspective and incorporates the effects of stochastic shocks to the economy in its assessment. The results suggest that a continuation of the present fiscal stances will lead to a fiscal unsustainability in Turkey. Furthermore, the results indicate that the properties of the debt dynamics are closely related to the spreads on both dollar denominated debt and YTL denominated debt. This thesis also provides an application of two traditional methodologies, such as Wilcox'
s (1989) methodology and Uctum and Wicken'
s (2000) methodology in order to assess the fiscal sustainability of Turkey.

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11

Huang, Tzu-Kuo. "Exploiting Non-Sequence Data in Dynamic Model Learning." Research Showcase @ CMU, 2013. http://repository.cmu.edu/dissertations/561.

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Virtually all methods of learning dynamic models from data start from the same basic assumption: that the learning algorithm will be provided with a single or multiple sequences of data generated from the dynamic model. However, in quite a few modern time series modeling tasks, the collection of reliable time series data turns out to be a major challenge, due to either slow progression of the dynamic process of interest, or inaccessibility of repetitive measurements of the same dynamic process over time. In most of those situations, however, we observe that it is easier to collect a large amount of non-sequence samples, or random snapshots of the dynamic process of interest without time information. This thesis aims to exploit such non-sequence data in learning a few widely used dynamic models, including fully observable, linear and nonlinear models as well as Hidden Markov Models (HMMs). For fully observable models, we point out several issues on model identifiability when learning from non-sequence data, and develop EM-type learning algorithms based on maximizing approximate likelihood. We also consider the setting where a small amount of sequence data are available in addition to non-sequence data, and propose a novel penalized least square approach that uses non-sequence data to regularize the model. For HMMs, we draw inspiration from recent advances in spectral learning of latent variable models and propose spectral algorithms that provably recover the model parameters, under reasonable assumptions on the generative process of non-sequence data and the true model. To the best of our knowledge, this is the first formal guarantee on learning dynamic models from non-sequence data. We also consider the case where little sequence data are available, and propose learning algorithms that, as in the fully observable case, use non-sequence data to provide regularization, but does so in combination with spectral methods. Experiments on synthetic data and several real data sets, including gene expression and cell image time series, demonstrate the effectiveness of our proposed methods. In the last part of the thesis we return to the usual setting of learning from sequence data, and consider learning bi-clustered vector auto-regressive models, whose transition matrix is both sparse, revealing significant interactions among variables, and bi-clustered, identifying groups of variables that have similar interactions with other variables. Such structures may aid other learning tasks in the same domain that have abundant non-sequence data by providing better regularization in our proposed non-sequence methods.

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12

Skinner, Gregory H. "Two-dimensional auto-regressive modeling." Thesis, Monterey, California. Naval Postgraduate School, 1989. http://hdl.handle.net/10945/26310.

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13

Kamari, Halaleh. "Qualité prédictive des méta-modèles construits sur des espaces de Hilbert à noyau auto-reproduisant et analyse de sensibilité des modèles complexes." Thesis, université Paris-Saclay, 2020. http://www.theses.fr/2020UPASE010.

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Ce travail porte sur le problème de l'estimation d'un méta-modèle d'un modèle complexe, noté m. Le modèle m dépend de d variables d'entrées X1,...,Xd qui sont indépendantes et ont une loi connue. Le méta-modèle, noté f∗, approche la décomposition de Hoeffding de m et permet d'estimer ses indices de Sobol. Il appartient à un espace de Hilbert à noyau auto-reproduisant (RKHS), noté H, qui est construit comme une somme directe d'espaces de Hilbert (Durrande et al. (2013)). L'estimateur du méta-modèle, noté f^, est calculé en minimisant un critère des moindres carrés pénalisé par la somme de la norme de Hilbert et de la norme empirique L2 (Huet and Taupin (2017)). Cette procédure, appelée RKHS ridge groupe sparse, permet à la fois de sélectionner et d'estimer les termes de la décomposition de Hoeffding, et donc de sélectionner les indices de Sobol non-nuls et de les estimer. Il permet d'estimer les indices de Sobol même d'ordre élevé, un point connu pour être difficile à mettre en pratique.Ce travail se compose d'une partie théorique et d'une partie pratique. Dans la partie théorique, j'ai établi les majorations du risque empirique L2 et du risque quadratique de l'estimateur f^ d'un modèle de régression où l'erreur est non-gaussienne et non-bornée. Il s'agit des bornes supérieures par rapport à la norme empirique L2 et à la norme L2 pour la distance entre le modèle m et son estimation f^ dans le RKHS H. Dans la partie pratique, j'ai développé un package R appelé RKHSMetaMod, pour la mise en œuvre des méthodes d'estimation du méta-modèle f∗ de m. Ce package s'applique indifféremment dans le cas où le modèle m est calculable et le cas du modèle de régression. Afin d'optimiser le temps de calcul et la mémoire de stockage, toutes les fonctions de ce package ont été écrites en utilisant les bibliothèques GSL et Eigen de C++ à l'exception d'une fonction qui est écrite en R. Elles sont ensuite interfacées avec l'environnement R afin de proposer un package facilement exploitable aux utilisateurs. La performance des fonctions du package en termes de qualité prédictive de l'estimateur et de l'estimation des indices de Sobol, est validée par une étude de simulation
In this work, the problem of estimating a meta-model of a complex model, denoted m, is considered. The model m depends on d input variables X1 , ..., Xd that are independent and have a known law. The meta-model, denoted f ∗ , approximates the Hoeffding decomposition of m, and allows to estimate its Sobol indices. It belongs to a reproducing kernel Hilbert space (RKHS), denoted H, which is constructed as a direct sum of Hilbert spaces (Durrande et al. (2013)). The estimator of the meta-model, denoted f^, is calculated by minimizing a least-squares criterion penalized by the sum of the Hilbert norm and the empirical L2-norm (Huet and Taupin (2017)). This procedure, called RKHS ridge group sparse, allows both to select and estimate the terms in the Hoeffding decomposition, and therefore, to select the Sobol indices that are non-zero and estimate them. It makes possible to estimate the Sobol indices even of high order, a point known to be difficult in practice.This work consists of a theoretical part and a practical part. In the theoretical part, I established upper bounds of the empirical L2 risk and the L2 risk of the estimator f^. That is, upper bounds with respect to the L2-norm and the empirical L2-norm for the f^ distance between the model m and its estimation f into the RKHS H. In the practical part, I developed an R package, called RKHSMetaMod, that implements the RKHS ridge group sparse procedure and a spacial case of it called the RKHS group lasso procedure. This package can be applied to a known model that is calculable in all points or an unknown regression model. In order to optimize the execution time and the storage memory, except for a function that is written in R, all of the functions of the RKHSMetaMod package are written using C++ libraries GSL and Eigen. These functions are then interfaced with the R environment in order to propose an user friendly package. The performance of the package functions in terms of the predictive quality of the estimator and the estimation of the Sobol indices, is validated by a simulation study

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14

Sha, Zhe. "Estimation of conditional auto-regressive models." Thesis, University of Oxford, 2016. https://ora.ox.ac.uk/objects/uuid:6cc56943-2b4d-4931-895a-f3ab67e48e3a.

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Conditional auto-regressive (CAR) models are frequently used with spatial data. However, the likelihood of such a model is expensive to compute even for a moderately sized data set of around 1000 sites. For models involving latent variables, the likelihood is not usually available in closed form. In this thesis we use a Monte Carlo approximation to the likelihood (extending the approach of Geyer and Thompson (1992)), and develop two strategies for maximising this. One strategy is to limit the step size by defining an experimental region using a Monte Carlo approximation to the variance of the estimates. The other is to use response surface methodology. The iterative procedures are fully automatic, with user-specified options to control the simulation and convergence criteria. Both strategies are implemented in our R package mclcar. We demonstrate aspects of the algorithms on simulated data on a torus, and achieve similar results to others in a short computational time on two datasets from the literature. We then use the methods on a challenging problem concerning forest restoration with data from around 7000 trees arranged in transects within study plots. We modelled the growth rate of the trees by a linear mixed effects model with CAR spatial error and CAR random e ects for study plots in an acceptable computational time. Our proposed methods can be used for similar models to provide a clearly defined framework for maximising Monte Carlo approximations to likelihoods and reconstructing likelihood surfaces near the maximum.

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15

Goncalves, Nayara Francine de Moura. "Bootstrap em modelos auto-regressivos aditivos generalizados." Universidade Federal de Minas Gerais, 2009. http://hdl.handle.net/1843/RFFO-7UEPM7.

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The class of Generalized Additive Models (GAM), considered an extension of the Generalized Linear Models (GLM), is attracting the attention of researchers mainly due to the flexibility of these procedures. In spite of being built under the hypothesis of independency of the data, the GAM is widely applied to time series data, as an alternative to model variables such as trend and seasonality. Recently, more general models, which consider the correlation structure among the data, like the GLARMA models (autoregressive moving average generalized linear models), are being used. This work extends the GLARMA models to a class of autoregressive generalized additive models of count series whose conditional distribution, given the past observations and the independent variables, follows a Poisson distribution. Besides presenting the definition of the model, as well as the fitting procedures, this work employs, in a empirical study, the bootstrap procedure in three different ways (bootstrap in the observations, conditional bootstrap and the bootstrap in the residuals) in the interval inference of the parameters, comparing two bootstrap methods of building confidence intervals percentile bootstrap and bootstrap with bias correction. The results show that, in general, the procedures and the bootstrap confidence intervals present a satisfactory performance when used in the GAM models with the GLARMA structure, modeling count data with an autoregressive structure of order 1, and presenting estimates close to the true values of the parameters.
A classe dos Modelos Aditivos Generalizados (MAG), considerados uma extensão dos Modelos Lineares Generalizados, vem atraindo a atenção de pesquisadores principalmente em função de sua flexibilidade. Apesar de construído sob a hipótese de independência dos dados, os MAGs são muito aplicados em estudos de séries temporais, sobretudo como alternativa para modelagem de variáveis de confusão tais como tendência e sazonalidade. Recentemente, modelos mais gerais, que consideram a estrutura de correlação entre os dados, como os modelos GLARMA (autoregressive moving average generalized linear models), têm sido utilizados. Este trabalho estende os modelos GLARMA para uma classe de modelos auto-regressivos aditivos generalizados para séries de contagem cuja distribuição condicional, dadas as observações passadas e as variáveis explicativas, segue uma distribuição de Poisson. Além de apresentar uma conceituação desses modelos bem como procedimentos de ajustes, este trabalho emprega, em um estudo empírico, o procedimento bootstrap em três formas (bootstrap nas observações, bootstrap condicional e bootstrap nos resíduos) na inferência pontual dos parâmetros do modelo e compara dois métodos de construção de intervalos de confiança bootstrap - bootstrap percentílico e bootstrap com correção do vício na estimação intervalar. Os resultados mostram que, em geral, os procedimentos e os intervalos de confiança bootstrap apresentam um bom desempenho quando utilizados na classe de MAGs que por sua vez, quando auxiliados pela modelagem GLARMA, modelam bem dados de contagem com estrutura auto-regressiva de ordem 1, apresentando estimativas próximas dos valores verdadeiros dos parâmetros.

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16

Ouyang, Quinglin. "Time to purchase your ownhouse : The resistance of housing investments againstmacroeconomic shocks." Thesis, KTH, Fastigheter och byggande, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-277084.

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Housing is both a durable good and an investment vehicle, which makes it importantin people’s daily life aswell as for a nation’s economy. This thesis innovatively applies the Sharpe ratio on evaluating the performance of the US residentialhousing market within the time period from 2005:Q1 to 2019:Q3, andinvestigates how this performance would react upon macroeconomic shocks,including sudden changes in GDP growth rate and personal income growthrate, by establishing a vector auto-regression model with the lag order of four.The main results are that: (1)in the long run, direct residential investments are not significantly more profitable than treasury bills but not disappointing compared to the market portfolio of Dow Jones Industrial Average; (2)the performance of residential investments seem to slightly and positively co-move withGDP and personal income growth rate; (3)the long-term impacts that sudden GDP and personal income growths have on the performance seem inconspicuous and tend to mitigate within about three years and (4) limited evidence supports the hypothesis that current housing market performance can help predictfuture GDP growth rate. Based on housing’s two purpose of consumption andinvestment and the empirical results showing that direct investments on residentialproperties have similar risk-adjusted return level to short-term treasurybills, I suggest that financially feasible households purchase their own houseinstead of renting for a long time, and that speculative investors avoid puttingmoney in residential properties unless they have access to inside information.
Bostäder kan betraktas både som en hållbar vara och som ett investeringsinstrument.De är essentiella för människors vardag och har en viktig roll förett lands ekonomi. Denna avhandling använder innovativt Sharpe-förhållandet för att utvärdera hur den amerikanska bostadsmarknaden presterade under perioden2005: kvartal 1 till 2019: kvartal 3. Den försöker även undersöka om denna prestation påverkas av makroekonomiska chocker inklusive plötsligaförändringar i BNP-tillväxttakt och personliga inkomsttillväxthastighet. Detta görs genom att upprätta en vektor autoregression modell med en fördröjningsordningför fyra. De viktigaste resultaten är att: (1) på långsikt är direktabostadsinvesteringar inte betydligt mer lönsamma än statsskuldväxlar dock är det hellre inte en besvikelse jämfört med en marknadsportföljen av Dow JonesIndustrial Average; (2) Prestationen av bostadsinvesteringar verkar vara svagt och samverkar positivit både med BNP och tillväxttakten för personinkomst.(3) De långsiktiga effekterna av plötsliga tillväxter av BNP och personliga inkomster har på utvecklingen verkar vara vaga och tenderar att mildra inomcirka tre år och (4) begränsade bevis stöder hypotesen om att nuvarande bostadsmarknadsresultat kan bidra till att förutsäga framtida BNP-tillväxttakten.Baserat på bostädernas två syften inom konsumtion och investeringar, visar deempiriska resultaten att direkta investeringar i bostadsfastigheter har en liknande riskjusterad avkastningsnivå som kortfristiga statsskuldväxla. Därför föreslår jag att ekonomisk stabila hushåll borde köpa ett eget hus istället för att hyraunder en lång tid, och att spekulativa investerare borde undvika att satsa pengar inom bostadsfastigheter såvida de inte har tillgång till insider-information.

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17

Cheng, Xiangbin. "The dynamic relationships between public spending, economic growth and income inequality in China." Thesis, University of Hertfordshire, 2015. http://hdl.handle.net/2299/16543.

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China's economic development has performed spectacularly during the period of China's economic transition as a result of radical economic reform in the all markets. The country has also gone through extensive fiscal reforms in the last three decades. However, a number of problems have been associated with such rapid economic growth. One of these has been raising inequality. In both Keynesian and neoclassical endogenous growth theories, public spending can play an important role for economic growth and inequality. The majority of previous studies have focused on the relationship between public spending and economic growth, or between public spending and inequality separately. There is no doubt that public spending has an effect on both economic growth and equity simultaneously. In this respect, this thesis attempts to address the problems that have emerged during the period of China's fiscal reforms, and seeks to examine the effects of public spending on economic growth and equality in the same model. This thesis investigates the dynamic relationships among these three variables in China. For aggregate national data, vector error correction model (VECM) has been used. Analysis at the provincial level is based on the panel vector auto-regression (PVAR) model. These methods help to solve the endogeneity in estimations. The national level analysis indicates that total public spending shows a long term Granger causality with GDP per capita, which supports the positive growth effect of public spending in the Keynesian and endogenous growth model. Social public spending has a negative effect on real output per capita in both the short term and long term, but it also has a negative impact on income inequality. Moreover, we find that a higher level of real GDP per capita will increase the level of inequality, but a higher level of inequality has a negative effect on real GDP per capita in the long term. Furthermore, total provincial public spending and provincial social spending have either a non-significant effect on economic growth. On the other hand, the SOEs' investment has a significant, positive growth effect at both the national and provincial level. As for the redistributive role of the public spending, the provincial total public spending and social spending have played an important role on income distribution. Furthermore, the Gini coefficient has a positive effect on the per capita growth rate at the provincial level, but the economic growth has no significant impact on the Gini coefficient.

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Aljarrah, Inad A. "Color face recognition by auto-regressive moving averaging." Ohio : Ohio University, 2002. http://www.ohiolink.edu/etd/view.cgi?ohiou1174410880.

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Rosa, Lidiane Maria Ferraz. "Probabilidade do alarme falso no gráfico de controle EWMA para o monitoramento de processo autocorrelacionado." Universidade Federal de Viçosa, 2012. http://locus.ufv.br/handle/123456789/4057.

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This work aimed to estimate the probability of false alarm caused by the control graph of the exponentially weighted moving average (EWMA) in an autocorrelated process along rational subgroups, using different combinations of the values of the following terms: number of standard deviations (2 ≤ k ≤ 6), weight of the rational subgroup (0.01 ≤ λ ≤ 1) and first order correlation (ρ). To study these values, data of a random variable Y were simulated, under normal distribution with average μ0 = 0 and standard deviation σ0 = 1 for a statistically-controlled process of up to 50 rational subgroups , with individual observations (n = 1). To obtain the values of Y along the 50 rational subgroups, 10 different situations were performed, according to the following first order autocorrelations (ρ = 0; 0.1; 0.2; 0.3; 0.4; 0.5; 0.6; 0.7; 0.8; 0.9). A total of 1.000 simulations were carried out for each situation. A probability of false alarm (α) decreased with the respective increase of k and λ. On the other hand, this probability increassed with the increase of ρ. Thus, in case the response variable Y is monitored by the EWMA control graph under an autocorrelated process, it is necessary to increase the values of k and λ, as the autocorrelation increases in degree. This requires widening the control limits by adopting values of k above three, so that the false alarm probabilities may be found at low levels, such as values lower than 0.01. To confirm α equal or lower than 0.1, 0.05, or 0.01, according to the first order autocorrealation, different combinations of k and λ are recommended. For ρ ≤ 0.6, λ = 0.01 was recommended , combined with values of k aproximately equal to 2.5 (ρ = 0), 2.7 (ρ = 0.1), 3.0 (ρ = 0.2), 3.3 (ρ = 0.3), 3.7 (ρ = 0.4), 4.4 (ρ = 0.5) and 5.3 (ρ = 0.6).Under these situations, the effect of λ on the decrese of α was small. Thus, one could use any value up to the unit, without the need to change the magnitude of k too much. However, despite the fact that the decrease of λ leads to the increase of k in order to maintain the same false alarm probability, such decision to indicate λ = 0.01 was taken to search for a greater distancing from the Shewhart control graph, which is equal to EWMA for λ = 1. On the other hand, for 0.7 ≤ ρ ≤ 0.9, it was also necessary to increase the values of λ, together with that of k, to obtain a low false alarm probability. In such cases,the following recommendations approximate of λ, were established for k = 6: 0.5 (ρ = 0.7), 0.6 (ρ = 0.8) and 0.95 (ρ = 0.9). Such conclusions agree with those by Costa et al. (2004), who proposed widening the control limits, since autocorrealation provides an estimate of the random variability caused by the process. In this work, widening the control limits occurred due to the imposition of k values higher than three during the design of the EWMA control graph.
O presente trabalho teve por objetivo estimar a probabilidade do alarme falso provocada pelo gráfico de controle da média móvel ponderada exponencialmente (EWMA) em um processo autocorrelacionado ao longo dos subgrupos racionais, em função de diferentes combinações entre os valores dos termos: número de desvios-padrão (2 ≤ k ≤ 6), peso do subgrupo racional (0,01 ≤ λ ≤ 1) e autocorrelação de 1a ordem (ρ). Para estudá-los, foram simulados dados de uma variável aleatória Y, sob distribuição normal com média μ0 = 0 e desvio-padrão σ0 = 1 para um processo sob controle estatístico para até 50 subgrupos racionais com observações individuais (n = 1). Para a obtenção dos valores de Y ao longo dos 50 subgrupos racionais, foram realizadas dez situações diferentes de acordo com as seguintes autocorrelações de 1a ordem (ρ = 0; 0,1; 0,2; 0,3; 0,4; 0,5; 0,6; 0,7; 0,8; 0,9). Foram realizadas 1.000 simulações para cada situação. A probabilidade do alarme falso (α) diminuiu com os respectivos aumentos de k e λ. Por outro lado, essa probabilidade aumentou de acordo com o aumento de ρ. Portanto, caso a variável resposta Y seja monitorada pelo gráfico de controle EWMA em um processo autocorrelacionado, torna-se necessário aumentar os valores de k e de λ, à medida que a autocorrelação aumentar de grau. Isso implica em alargar os limites de controle, em função da adoção de valores de k acima de três, para que as probabilidades dos alarmes falsos possam se situar em níveis baixos, como, por exemplo, para valores menores do que 0,01. Para conferir α igual ou inferior a 0,1, 0,05 ou 0,01, de acordo com a autocorrelação de 1a ordem, recomendaram-se diferentes combinações de k e λ. Para ρ ≤ 0,6, recomendou-se λ = 0,01 combinado com valores de k aproximadamente iguais a 2,5 (ρ = 0), 2,7 (ρ = 0,1), 3,0 (ρ = 0,2), 3,3 (ρ = 0,3), 3,7 (ρ = 0,4), 4,4 (ρ = 0,5) e 5,3 (ρ = 0,6). Nessas situações, o efeito do λ sobre a diminuição do α foi pequena. Portanto, poderia se trabalhar com quaisquer valores até a unidade, sem haver a necessidade de mudar muito a magnitude do k. Porém, apesar da diminuição do λ implicar no aumento do k para manter a mesma probabilidade do alarme falso, tal decisão de indicar λ = 0,01 ocorreu pelo fato de buscar um maior distanciamento do gráfico de controle de Shewhart, que é igual ao EWMA para λ = 1. No entanto, para 0,7 ≤ ρ ≤ 0,9, foi necessário aumentar também o valor de λ, juntamente com o de k, para que a probabilidade do alarme falso fosse baixa. Nestes casos, foram estabelecidas as seguintes recomendações aproximadas de λ, para k = 6: 0,5 (ρ = 0,7), 0,6 (ρ = 0,8) e 0,95 (ρ = 0,9). Tais conclusões vão de encontro às de Costa et al. (2004) que propuseram o alargamento dos limites de controle, dado que a autocorrelação propicia uma estimativa da variabilidade aleatória provocada pelo processo. Neste trabalho, o alargamento do limite de controle ocorreu devido à imposição de valores de k maiores do que três durante a construção do gráfico de controle EWMA.

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20

Andersson, Sebastian, and Gustav Carlstedt. "Automated Testing of Robotic Systems in Simulated Environments." Thesis, Mälardalens högskola, Akademin för innovation, design och teknik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-44572.

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With the simulations tools available today, simulation can be utilised as a platform for more advanced software testing. By introducing simulations to software testing of robot controllers, the motion performance testing phase can begin at an earlier stage of development. This would benefit all parties involved with the robot controller. Testers at ABB would be able to include more motion performance tests to the regression tests. Also, ABB could save money by adapting to simulated robot tests and customers would be provided with more reliable software updates. In this thesis, a method is developed utilising simulations to create a test set for detecting motion anomalies in new robot controller versions. With auto-generated test cases and a similarity analysis that calculates the Hausdorff distance for a test case executed on controller versions with an induced artificial bug. A test set has been created with the ability to detect anomalies in a robot controller with a bug.

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21

Hutter, Claudia Fernanda Freitas. "Uma Abordagem Bayesiana para Modelos Auto-Regressivos Periódicos - PAR." Universidade de São Paulo, 1998. http://www.teses.usp.br/teses/disponiveis/55/55134/tde-14032018-110842/.

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Nesta dissertação de mestrado, apresentamos um estudo dos modelos de séries temporais com componentes sazonais, tais que a medida presente está correlacionada com a medida imediatamente passada e com médias passadas no mesmo ponto de períodos anteriores. Dentro da classe de modelos periódicos, vamos considerar os modelos auto-regressivos periódicos - PAR. Estes modelos são adequados quando a correlação entre os meses variam de forma periódica, estas séries são ditas periodicamente estacionárias. Na análise Clássica a identificação do modelo é feita através da função de autocorrelação periódica, PeFAC e função de autocorrelação parcial periódica, PeFACP, a escolha do melhor modelo é feita usando-se o Critério de Informação Bayesiano, BIC, apresentamos ainda um teste estatístico para verificar a periodicidade na função de autocorrelação. Na análise Bayesiana consideramos três alternativas de densidades a priori para os parâmetros. A densidade preditiva é usada na escolha do melhor modelo e para fazer previsões um passo a frente de valores Muros da série usando resultados da simulaçãO em Cadeia de Markov, MCMC. Exploramos ainda o uso dos algoritmos de MCMC para estimar as densidade a posteriori marginais dos parâmetros do modelo. A metodologia desenvolvida neste trabalho é exemplificada com conjuntos de dados reais e simulados.
In this work we present a Bayesian approch seasonal time series using periodical autoregressive models PAR. In the Classical model order was estimated by periodical autocorrelation PeACF and periodical pardal autocorrelation funcition PePACF. The parsimonious model was chosen by Bayesian Information Criterios (BIC). In this work we present also a test of hypothesis for periodicity of the autocorrelation function. The Bayesian. approach in this work was made using three priori density function, Non- Informative priori, conjugate priori Normal-Gama and t-Student times Gama priori. The forecast was made by simulation of Monte Cano Markow rhain. For model selection we could consider the predictive for the futures values.

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22

Timotijevic, Branislav. "Auto-regressive optical filters in silicon-on-insulator waveguides." Thesis, University of Surrey, 2007. http://epubs.surrey.ac.uk/844086/.

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The subject of the thesis is the modelling, design, fabrication and characterisation of single-stage and multi-stage resonators on Silicon-on-Insulator (SOI) strip and rib waveguides. The devices have been investigated with the aim to produce small and efficient wavelength selective elements that could one day be used in multiplexers, filters and other components of integrated optical circuits. Due to the complexity of devices and very often requirements of advanced simulation packages, most of the devices have been modelled (lambda = 1.55mum) through separate analyses of the components forming the filters. The study starts with the modelling of rib and strip waveguides aiming at the single-mode and zero-birefringent regime of operation, followed by the analysis of a directional coupler. The modelling suggests that the cross-sectional rectangular area of a strip waveguide should be smaller than 0.10mum2. Similarly, rib waveguides with a height of 1.35mum, and a waveguide width of 0.8mum or 1.0mum, could be used as basic single-mode and zero-birefringent elements for building relatively large rib waveguide based devices. The analysis of a directional coupler on strip waveguides has shown that a near-polarisation-independence regime is possible for waveguide separations below 0.20mum and waveguide widths in range 0.29 - 0.40mum, when a waveguide height is chosen to be 0.29mum or 0.34mum. Simplified z-transform models of filters have been employed to calculate values of the most relevant figures of merit such as Free Spectral Range (FSR), Full Width at Half Maximum (FWHM), Finesse (F) and Q-factor, and also to quantify the sensitivity of the transfer function to the changes of geometric parameters, coupling issues and thermal effects. Based on the modelling and information from test chips of previous students, 4 main designs grouped in 6 test chips have been proposed and fabricated in collaboration with the Intel Corporation Photonics research groups from San Jose and Jerusalem. Two designs were based on rib waveguide type devices and two on strip waveguide type devices. The goals in all cases were; polarisation insensitivity, single-mode behaviour, improvement of the FSR, shaping response by using various geometries, the possibility of tuning response by thermal means etc. Experimental results have shown improvement in the FWHM and FSR as expected for both strip and rib designs. An additional stage of multi-level, serially coupled racetrack resonator in rib waveguides has resulted in a decrease of the FWHM by more than 30% (6pm). Polarisation independence by using identical multiple serial-coupled rib racetracks has also been demonstrated. The FSR above 60nm have been reported for small strip resonators (radius of l.5mum) with good polarisation characteristics for rings which radius is near 3mum. To the author's knowledge this is the largest FSR yet reported for a silicon based ring resonator. There is also improvement of the spectral response of multiple Vernier rings, which, with some corrections in terms of side lobes appearing in the spectrum, may be used for designing devices with the FSR as large as 70nm.

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Luis, Santiago Maia André. "A dinâmica inflacionária brasileira : resultados de auto-regressão quantílica." Universidade Federal de Pernambuco, 2005. https://repositorio.ufpe.br/handle/123456789/6488.

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Conselho Nacional de Desenvolvimento Científico e Tecnológico
O processo inflacionário brasileiro tornou-se um assunto amplamente debatido nos meios políticos e acadêmicos. Alguns pesquisadores, atravês de diversas técnicas, têm procurado obter informações a respeito da natureza do fenômeno inflacionário brasileiro, da magnitude da taxa de elevação dos preços, da dimensão do fator tempo, do comportamento dinâmico do processo, da abrangência do fenômeno, dos fatores exógenos e dos mecanismos repressores da inflação. O objetivo principal desta dissertação é estudar a dinâmica inflacionária brasileira no período pós-Plano Real. Com esta finalidade, foram avaliadas estratégias univariadas de modelagem e testes econométricos baseados em indicadores da inflaçaõ. Na modelagem das séries nós usamos a classe de modelos autoregressivos quantílicos (QAR) proposta por Koenker e Xiao (2004a) com o intuito de caracterizar a dinâmica inflacionária em diferentes quantis da distribução condicional da taxa de inflção, examinando a existência de raiz unitária, ou seja, a existência de inércia inflacionária. Na investigação do comportamento inercial da taxa de inflação, usamos testes de raiz unitária derivados de QAR propostos por Koenker e Xiao (2004b). Nós mostramos que a dinâmica inflacionária não apresenta comportamento uniforme ao longo dos diferentes quantis condicionais. Em particular, os resultados revelam que a dinâmica é globalmente estacionária, mesmo com o processo alcançando não-estacionariedade na cauda superior da distribuição condicional. Apresentamos também evidências empíricas para as dinâmicas inflacionárias da Argentina e do Chile

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Oliveira, Fabio Andrade Savino de. "Modeling expectations for national public securities: an application to models VAR." Universidade Federal do CearÃ, 2012. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=7867.

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nÃo hÃ
Considering the timing with which the market and the economic and financial analysts require information about the evolution of the assets, this work provides subsidies to apply time series models to anticipate the return of Brazilian government bonds. Vector auto-regressive models are developed and estimated for the main assets in government securities market in 2011 and forecasts suggest that the government bonds indexed to the IPCA and fixed-rate bonds are more promising in return that the government securities post-fixed , a fact consistent with the current context of a world economy that emerges from a crisis scenario.
Considerando a tempestividade com a qual o mercado e os analistas econÃmico-financeiros requerem as informaÃÃes sobre a evoluÃÃo dos ativos, este trabalho fornece subsÃdios ao aplicar modelos de sÃries temporais, para antecipar os retornos de tÃtulos pÃblicos brasileiros. Modelos vetoriais auto-regressivos sÃo desenvolvidos e estimados para os principais tÃtulos pÃblicos ativos no mercado em 2011 e as previsÃes sugerem que os tÃtulos pÃblicos indexados ao IPCA e os tÃtulos pÃblicos prÃ-fixados sÃo mais promissores em rentabilidade que os tÃtulos pÃblicos pÃs-fixados. Este fato Ã coerente ao contexto atual de uma economia mundial que emerge de um cenÃrio de crise.

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25

Hu, Wenbiao. "Applications of Spatio-temporal Analytical Methods in Surveillance of Ross River Virus Disease." Queensland University of Technology, 2005. http://eprints.qut.edu.au/16109/.

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The incidence of many arboviral diseases is largely associated with social and environmental conditions. Ross River virus (RRV) is the most prevalent arboviral disease in Australia. It has long been recognised that the transmission pattern of RRV is sensitive to socio-ecological factors including climate variation, population movement, mosquito-density and vegetation types. This study aimed to assess the relationships between socio-environmental variability and the transmission of RRV using spatio-temporal analytic methods. Computerised data files of daily RRV disease cases and daily climatic variables in Brisbane, Queensland during 1985-2001 were obtained from the Queensland Department of Health and the Australian Bureau of Meteorology, respectively. Available information on other socio-ecological factors was also collected from relevant government agencies as follows: 1) socio-demographic data from the Australia Bureau of Statistics; 2) information on vegetation (littoral wetlands, ephemeral wetlands, open freshwater, riparian vegetation, melaleuca open forests, wet eucalypt, open forests and other bushland) from Brisbane City Council; 3) tidal activities from the Queensland Department of Transport; and 4) mosquito-density from Brisbane City Council. Principal components analysis (PCA) was used as an exploratory technique for discovering spatial and temporal pattern of RRV distribution. The PCA results show that the first principal component accounted for approximately 57% of the information, which contained the four seasonal rates and loaded highest and positively for autumn. K-means cluster analysis indicates that the seasonality of RRV is characterised by three groups with high, medium and low incidence of disease, and it suggests that there are at least three different disease ecologies. The variation in spatio-temporal patterns of RRV indicates a complex ecology that is unlikely to be explained by a single dominant transmission route across these three groupings. Therefore, there is need to explore socio-economic and environmental determinants of RRV disease at the statistical local area (SLA) level. Spatial distribution analysis and multiple negative binomial regression models were employed to identify the socio-economic and environmental determinants of RRV disease at both the city and local (ie, SLA) levels. The results show that RRV activity was primarily concentrated in the northeast, northwest and southeast areas in Brisbane. The negative binomial regression models reveal that RRV incidence for the whole of the Brisbane area was significantly associated with Southern Oscillation Index (SOI) at a lag of 3 months (Relative Risk (RR): 1.12; 95% confidence interval (CI): 1.06 - 1.17), the proportion of people with lower levels of education (RR: 1.02; 95% CI: 1.01 - 1.03), the proportion of labour workers (RR: 0.97; 95% CI: 0.95 - 1.00) and vegetation density (RR: 1.02; 95% CI: 1.00 - 1.04). However, RRV incidence for high risk areas (ie, SLAs with higher incidence of RRV) was significantly associated with mosquito density (RR: 1.01; 95% CI: 1.00 - 1.01), SOI at a lag of 3 months (RR: 1.48; 95% CI: 1.23 - 1.78), human population density (RR: 3.77; 95% CI: 1.35 - 10.51), the proportion of indigenous population (RR: 0.56; 95% CI: 0.37 - 0.87) and the proportion of overseas visitors (RR: 0.57; 95% CI: 0.35 - 0.92). It is acknowledged that some of these risk factors, while statistically significant, are small in magnitude. However, given the high incidence of RRV, they may still be important in practice. The results of this study suggest that the spatial pattern of RRV disease in Brisbane is determined by a combination of ecological, socio-economic and environmental factors. The possibility of developing an epidemic forecasting system for RRV disease was explored using the multivariate Seasonal Auto-regressive Integrated Moving Average (SARIMA) technique. The results of this study suggest that climatic variability, particularly precipitation, may have played a significant role in the transmission of RRV disease in Brisbane. This finding cannot entirely be explained by confounding factors such as other socio-ecological conditions because they have been unlikely to change dramatically on a monthly time scale in this city over the past two decades. SARIMA models show that monthly precipitation at a lag 2 months (=0.004,p=0.031) was statistically significantly associated with RRV disease. It suggests that there may be 50 more cases a year for an increase of 100 mm precipitation on average in Brisbane. The predictive values in the model were generally consistent with actual values (root-mean-square error (RMSE): 1.96). Therefore, this model may have applications as a decision support tool in disease control and risk-management planning programs in Brisbane. The Polynomial distributed lag (PDL) time series regression models were performed to examine the associations between rainfall, mosquito density and the occurrence of RRV after adjusting for season and auto-correlation. The PDL model was used because rainfall and mosquito density can affect not merely RRV occurring in the same month, but in several subsequent months. The rationale for the use of the PDL technique is that it increases the precision of the estimates. We developed an epidemic forecasting model to predict incidence of RRV disease. The results show that 95% and 85% of the variation in the RRV disease was accounted for by the mosquito density and rainfall, respectively. The predictive values in the model were generally consistent with actual values (RMSE: 1.25). The model diagnosis reveals that the residuals were randomly distributed with no significant auto-correlation. The results of this study suggest that PDL models may be better than SARIMA models (R-square increased and RMSE decreased). The findings of this study may facilitate the development of early warning systems for the control and prevention of this widespread disease. Further analyses were conducted using classification trees to identify major mosquito species of Ross River virus (RRV) transmission and explore the threshold of mosquito density for RRV disease in Brisbane, Australia. The results show that Ochlerotatus vigilax (RR: 1.028; 95% CI: 1.001 - 1.057) and Culex annulirostris (RR: 1.013, 95% CI: 1.003 - 1.023) were significantly associated with RRV disease cycles at a lag of 1 month. The presence of RRV was associated with average monthly mosquito density of 72 Ochlerotatus vigilax and 52 Culex annulirostris per light trap. These results may also have applications as a decision support tool in disease control and risk management planning programs. As RRV has significant impact on population health, industry, and tourism, it is important to develop an epidemic forecast system for this disease. The results of this study show the disease surveillance data can be integrated with social, biological and environmental databases. These data can provide additional input into the development of epidemic forecasting models. These attempts may have significant implications in environmental health decision-making and practices, and may help health authorities determine public health priorities more wisely and use resources more effectively and efficiently.

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26

Sreenivasan, K. R. "Structural Analysis And Forecasting Of Annual Rainfall Series In India." Thesis, Indian Institute of Science, 2001. http://hdl.handle.net/2005/262.

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The objective of the present study is to forecast annual rainfall taking into account the periodicities and structure of the stochastic component. This study has six Chapters. Chapter 1 presents introduction to the problem and objectives of the study. Chapter 2 consists of review of literature. Chapter 3 deals with the model formulation and development. Chapter 4 gives an account of the application of the model. Chapter 5 presents results and discussions. Chapter 6 gives the conclusions drawn from the study. In this thesis the following model formulations are presented in order to achieve the objective. Fourier analysis model is used to identify periodicities that are present in the rainfall series.1 These periodic components are used to obtain discrotized ranges which is an essential input for the Fourier series model. Auto power regression model is developed for estimation of rainfall and hence to compute the first order residuals errlt The parameters of the model are estimated using genetic algorithm. The auto power regression model is of the form, ( Refer the PDF File for Formula) where αi and βi are parameters and M indicates modular value. Fourier series model is formulated and solved through genetic algorithm to estimate the parameters amplitude R, phase Φ and periodic frequency wj for the residual series errlt. The ranges for the parameters R, Φ and wj were obtained from Fourier analysis model. errl't= /µerrlt+ Σj Rcos(wjt+ Φ) Further, an integrated auto power regression and Fourier series model developed (with parameters of the model being known from the above analysis) to estimate new rainfall series Zesťt=Zµ Σ t αi(ZMi-t ) βi+µerrl+ Σj Rcos(wjt+ Φ) and the second order residuals, err2t is computed using, err2t = (zt –Zesťt) Thus, the periodicities are removed in the errlt series and the second order residuals err'2f obtained represents the stochastic component of the actual rainfall series. Auto regressive model is formulated to study the structure of the stochastic component err2t. The auto regressive model of order two AR(2) is found to fit well. The parameters of the AR(2) model were estimated using method of least squares. An exponential weighting function is developed to compute the weight considering weight as a function of AR{2) parameters. The product of weight and Gaussian white noise N(0, óerr2) is termed as weighted stochastic component. Also, drought analysis is performed considering annual (January to December) and summer monsoon (June to September) rainfall totals, to determine average drought interval (idrt) which is used in assigning signs to the random component of the forecasting model. In the final form of the forecasting model. Zest”t = Z µ Σ t αi(ZMi-t ) βi+µerrl+ Σj Rcos(wjt+ Φ) ± WT(Φ1, Φ2)N(0, óerr2) The weighted stochastic component is added or subtracted considering two criteria. Criterion I is used for all rainfall series except all-India series for which criterion II is used. The criteria also consider average drought interval Further, it can be seen that a ± sign is introduced to add or subtract the weighted stochastic component, albeit the stochastic component itself can either be positive or negative. The introduction of ± sign on the already signed value (instead of absolute value) is found to improve the forecast in the sense of obtaining more number of point rainfall estimates within 20 percent error. Incorporating significant periodicities, and weighted stochastic component along with average drought interval into the forecasting formulation is the main feature of the model. Thus, in the process of rainfall prediction, the genetic algorithm is used as an efficient tool in estimating optimal parameters of the auto power regression and the Fourier series models, without the use of an expensive nonlinear least square algorithm. The model application is demonstrated considering different annual rainfall series relating to IMD-Regions (RI...R5), all-india (AI), IMD-Subdivisions (S1...S29), Zones (Z1...Z10) and all-Karnataka (AK). The results of the proposed model are encouraging in providing improved forecasts. The model considers periodicity, average critical drought frequency and weighted stochastic component in forecasting the rainfall series. The model performed well in achieving success-rate of 70 percent with percentage error less than 20 percent in 4 out of 5 IMD Regions (R2 to R5), all-India, 17 out of 29 IMD Subdivisions (S1 to S5, S7 to S9, S18, S19, S21, S24 to S29) and all-Karnataka rainfall series. The model performance for Zones was not that-satisfactory as only 2 out of 10 Zones [Z1 and Z2) met the criterion. In a separate study, an effort was made to forecast annual rainfall using IMSL subroutine SPWF -which estimates Wiener forecast parameters. Monthly data is considered for the study. The Wiener parameters obtained were used to estimate monthly rainfall. The annual estimates obtained by simple aggregation of the monthly estimates compared extremely well with the actual annual rainfall values. A success rate of more than 80 percent with percentage error less than 10 percent is achieved in 4 out of 5 IMD Regions (R2 to R5), all-India, 18 out of 29 IMD Subdivisions (S1 to S8, S14, S18, S19, S22 to S24, S26 to S29) and all-Karnataka rainfall series. Whereas a success rate of 80 percent within 20 percent error is achieved in 4 out of 5 IMD Regions (except R1), all-India, 25 outof 29 IMD Subdivisions (except S10, S11, S12 and S17), all- Karnataka and 8 out of 10 Zones (except Z6 and Z8)(Please refer PDF File for Formulas)

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Bethapudi, Daniel Naveen. "Dynamic interactions between electricity prices and the regional economy." Texas A&M University, 2003. http://hdl.handle.net/1969.1/2275.

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In this thesis we study characterize the dynamic relationships among two electricity price variables (residential and commercial) and six regional economic variables in order to examine each individual variable??s role in regional economic activity. We also answer the question ??Do electricity prices have impact on regional economic variables??? We use two statistical techniques as engines of analysis. First, we use directed acyclic graphs to discover how surprises (innovations) in prices from each variable are communicated to other variables in contemporaneous time. Second, we use time series methods to capture regularities in time lags among the series. Yearly time series data on two electricity prices and six regional economic variables for Montgomery County (Texas) are studied using time series methods. Directed Acyclic Graphs (DAGs) are used to impose restrictions on the Vector Auto Regression model (VAR). Using Innovation Accounting Analysis of the estimated Vector Auto Regression (VAR) model we unravel the dynamic relationships between the eight variables. We conclude that rising electricity prices have a negative impact on allregional economic variables. The commercial average electricity prices lead residential average electricity prices in the time frame we studied (1969-2000). Rising residential electricity prices also have a positive impact on income derived from transfer payments.

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Felipe, de Melo Sales Santos Tiago. "Valor em risco auto-regressivo condicional : o caso de índices brasileiros." Universidade Federal de Pernambuco, 2006. https://repositorio.ufpe.br/handle/123456789/6393.

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Cada vez mais a análise de séries temporais tem estado presente no mercado financeiro, auxiliando a obtenção de previsões e a tomada de decisão. Na presença de ventos extremos, as perdas são sempre muito grandes e em alguns casos podem levar os investidores à falência. Algumas medidas foram criadas para mensurar esse risco, porém elas não levam em conta o fato de que outras variáveis podem ser relevantes á mensuração. Engle & Manganelli (2004) propuseram um nova metodologia para medir os riscos de investimento, o modelo CAViaR, que, além de permitir a inclusão dessas variáveis, permite avaliar a qualidade do ajuste. O principal objetivo desta dissertação é avaliara nova metodologia proposta por Engle & Manganelli (2004) conjuntamente com as metodologias existentes, nos casos dos índices da Bolsa de Valores de São Paulo IBOVESPA e da Petrobrás. Por outro lado, verificamos a qualidade da estimação dos parâmetros através de simulação de Monte Carlo, de onde pudemos concluir que a qualidade da estimação está ligada `a escolha dos parâmetros iniciais e que, em geral, faz-se necessária a consideração de um grande número de vetores de estimativas iniciais

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Torres, Winnie de Lima. "Detecção de desvios vocais utilizando modelos auto regressivos e o algoritmo KNN." PROGRAMA DE PÓS-GRADUAÇÃO EM ENGENHARIA ELÉTRICA E DE COMPUTAÇÃO, 2018. https://repositorio.ufrn.br/jspui/handle/123456789/25105.

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Alguns campos da ciência propõem-se a estudar distúrbios no trato vocal a partir de análises sobre padrões de vibração da voz. Em geral, a importância dessas pesquisas está na identificação, em uma fase mais específica, de doenças de maior ou menor gravidade, a serem sanadas com terapia vocal ou que requerem maior atenção, gerando inclusive a necessidade de procedimentos cirúrgicos para o seu controle. Embora, já exista na literatura indicações de que o processamento digital de sinais permite diagnosticar, de um modo não invasivo, patologias laríngeas, como doenças vocais que ocasionem edema, nódulo e paralisia, não existe definição do método mais indicado e das características, ou parâmetros, mais adequados para detectar a presença de desvios vocais. Sendo assim, neste trabalho é proposto um algoritmo para detecção de desvios vocais por meio da análise de sinais de voz. Para a realização deste trabalho, utilizou-se dados constantes no banco de dados Disordered Voice Database, desenvolvido pelo Massachusetts Eye and Ear Infirmary (MEEI), devido sua utilização em pesquisas na área acústica de voz. Foram utilizados 166 sinais contidos nessa base de dados, com sinais de vozes saudáveis e de vozes patológicas afetadas por edema, por nódulo e por paralisia nas pregas vocais. A partir dos sinais de voz, foram gerados modelos Auto Regressivos (AR e ARMA) para representação desses sinais e, utilizando os parâmetros dos modelos obtidos, foi utilizado o algoritmo K-Nearest Neighbors (KNN) para a classificação dos sinais analisados. Com o intuito de analisar a eficiência do algoritmo proposto neste estudo, os resultados obtidos desse algoritmo foram comparados com um método de detecção considerando apenas distância euclidiana entre os sinais. Os resultados encontrados apontam que o método proposto neste trabalho apresenta um bom resultado, gerando uma taxa de acerto na classificação acima de 71% (maior que os 31% a partir do uso da distância euclidiana). Além disso, o método utilizado é de fácil implementação, podendo ser utilizado em hardwares mais simples. Logo, essa pesquisa tem potencial para gerar um classificador barato e acessível para a utilização em larga escala por profissionais de saúde, como uma alternativa de pré análise não invasiva para detecção de patologias otorrinolaringológicas que afetem a voz.
Some fields in Science propose to study vocal tract disorders from an analysis about voice vibration patterns. Generally, the weight of those researches is given by the identification – in a more specific level – of diseases in different stages of severity, which would be redressed through voice therapy or means that require more attention, hence generating the need of surgical procedures for its control. Although there are evidences in literature that the Digital Signal Processing allows a non-invasive diagnosis of laryngeal pathologies, such as vocal cord disorders, which provoke swelling, nodules, and paralyses, there is no definition of any most indicated method, and characteristics or appropriated parameters to detect voice deviations. Thus, the present paper proposes an algorithm to detect vocal deviances through the Voice Signal Analysis. In order to complete this study, it had been used data from the Disordered Voice Database, developed by the Massachusetts Eye and Ear Infirmary (MEEI) due to their wide use in researches regarding the voice and speech. A total of 166 signals from this database were used, including healthy voices and pathologic voices affected by swelling, nodule, and vocal fold paralysis. From the voice signals, autoregressive processes of order (AR and ARMA) were generated for a representation of those signals, and – by using the models’ parameters obtained – it had been used the KNN algorithm for a classification of the signals analyzed. Seeking an analysis of the efficiency of the algorithm proposed in this study, the results obtained from this algorithm were compared to a detection method, which only considers the Euclidian distance between the signals. The results found point that the propositioned method in this work presents a satisfactory result, generating a hit rate on the classification above 71% (more than the 31% from the use of the Euclidian distance). Moreover, the method used is easy to implement, so that it can be used along with simpler hardware. Consequently, this research has the potential to generate a cheap and accessible sorter for wide-scale use by health care professionals as a non-invasive pre-analysis to detect otorhinolaryngological pathologies that affect the voice.

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Gomes, Dulce Maria de Oliveira. "Processos auto-regressivos de coeficientes aleatórios na modelação de dados de contagem." Doctoral thesis, Universidade de Évora, 2005. http://hdl.handle.net/10174/11244.

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Modelar séries temporais de valores inteiros não-negativos pareceu-nos um desafio bastante aliciante, não só devido à sua importância, como também devido ao facto de ser um tema ainda pouco explorado, contrariamente à modelação de séries temporais com suporte nos reais, através de modelos lineares e não-lineares, que tem sido assunto de vários estudos. Este trabalho centra-se, portanto, no estudo de modelos de séries temporais de valores inteiros não-negativos, também designadas de séries de contagem. Mais concretamente, centra-se no estudo de uma classe de modelos auto-regressivos de ordem 1, de coeficientes aleatórios e baseados numa generalização da operação thinning, proposta por Steutel e Van Harn em 1979. Dentro desta classe de modelos foram estudados dois casos particulares. O primeiro caso, que vai ser estudado ao longo capítulo 2, tem por base o facto dos coeficientes do modelo serem eles próprios também um processo estocástico. No segundo caso, considera-se que os coeficientes constituem uma sucessão de variáveis aleatórias independentes e identicamente distribuídas — sendo o modelo assim definido um caso particular do primeiro. O capítulo 3 desenvolve-se em torno deste caso particular. Estes modelos foram designados, respectivamente, por DSINAR(1) generalizado (as iniciais da denominação em inglês, Doubly Stochastic INteger AutoRegressive) e RCINAR(1) generalizado (sigla de Random Coefficient INteger AutoRegressive). /Abstract - Modelling non-negative integer-valued time series seemed an interesting challenge, not only because of their importance but also because it is a subject which has not been very explored; unlike modelling time series with support on R, through linear and non-linear models, which has been the subject of several studies. This essay is, therefore, centred in the study of non-negative integer-valued time series models, also designated as time series of counts. More specifically, it is centred in the study of a class of autoregressive models of order 1, with random coefficients and based in a generalisation of the operation thinning, proposed by Steutel and Van Harn in 1979. Within this class of models we have studied two particular cases. The first, which is studied in chapter 2, is based in the fact that the model coefficients are themselves a stochastic process. In the second case, it is considered that the coefficient are an independent and identically distributed sequence of random variables. The model thus defined is a particular case of the previous. chapter 3 is dedicated to such case. These models were designated, respectively, by generalized DSINAR(1) (standing for Doubly Stochastic INteger Auto Regressive) and generalized RCINAR(1) (Random Coefficient INteger Auto Regressive).

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Souza, Kayo Cicero Quirino de. "Integração econômico, crisa e emprego na Espanha." Universidade Federal da Paraíba, 2014. http://tede.biblioteca.ufpb.br:8080/handle/tede/8122.

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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES
This work is focused on the transformations undergone by the Spanish economy over the second half of the twentieth century and the first decade of this century, there included the 2008 crisis is analyzed as the process of economic integration of Spain, which had as dynamic pole of the real estate development impacted on the level of employment and income. Highlight the consequences that such a model resulted on the competitive dynamics of the country, causing greater vulnerability to economic crises. The paper points out that the construction industry spent over decades, as the sector that received government incentives since the period of Franco's dictatorship to the great crisis of 2008 In addition to these facts, it highlighted the importance of the financial sector served to deepen this model of development, to promote conditions conducive to the acquisition of homes by households, creating an innovative process that enabled converting the appreciation of property prices in liquidity for consumption. To enhance the level of employment was associated with the performance of the construction sector, an econometric estimation was carried out to verify this behavior for the period 1996 to 2012 The analysis is grounded in keynesian minskyana and theoretical approach.
Este trabalho tem como tema central as transformações sofridas pela economia espanhola ao longo da segunda metade do século XX e a primeira década do século XXI, aí incluída a crise de 2008. Analisa-se como o processo de integração econômica da Espanha, que teve como polo dinâmico do desenvolvimento o setor imobiliário repercutiu sobre o nível de emprego e renda. Destacam-se as consequências que tal modelo resultou sobre a dinâmica competitiva do país, ocasionando maior vulnerabilidade às crises econômicas. O trabalho ressalta que o setor da construção civil passou, ao longo de décadas, como sendo o setor que mais recebeu incentivos governamentais desde o período da ditadura franquista até a grande crise de 2008. Além desses fatos, é destacada a importância que o setor financeiro exerceu para o aprofundamento deste modelo de desenvolvimento, ao promover condições propícias para a aquisição de vivendas por parte das famílias, gerando um processo inovador que possibilitou converter a valorização dos preços dos imóveis em liquidez para o consumo. Para reforçar como o nível de emprego estava associado ao desempenho do setor da construção civil, foi realizado uma estimação econométrica para verificar tal comportamento para o período de 1996 até 2012. A análise está assentada na abordagem teórica keynesina e minskyana.

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AMARAL, LUIZ FELIPE MOREIRA DO. "A SMOOTH TRANSITION PERIODIC AUTO REGRESSIVE MODEL FOR SHORT TERM ELECTRICITY LOAD FORECAST." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2007. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=9916@1.

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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO
Essa tese considera um modelo não linear para se obter previsões de curto prazo de carga de energia elétrica. O modelo combina um modelo de múltiplos regimes auto-regressivo com transição suave com um periódico auto-regressivo criando o modelo de múltiplos regimes periódico com transição suave (STPAR). Um método de construção do modelo é desenvolvido com métodos estatísticos simples e um teste de linearidade contra a hipótese de modelo periódico autoregressivo com transição suave. Outros dois destes foram elaborados para se avaliar o modelo estimado: um teste de Multiplicador de Lagrange (LM) para a hipótese de auto-correlação serial dos resíduos e outro teste LM para a hipótese de não linearidade remanescente. Um experimento de Monte Carlo foi implementado para avaliar a performance dos testes propostos. Estimação por mínimos quadrados não lineares é considerado. Finalmente, dados de carga de energia elétrica do estado de New South Wales na Austrália são apresentados e foram usados como exemplo real. Outros modelos foram utilizados para comparar a performance do modelo.
This thesis considers a non linear approach to obtain short term forecast for electricity load. The model combines a smooth transition autoregressive process with a periodic autoregressive time series model, creating the Smooth Transition Periodic Autoregressive (STPAR) model. A model-building procedure is developed and a linearity test against smooth transition periodic auto-regressive is proposed. Other two tests were created to evaluate the model: a Lagrange multiplier (LM) test for the hypothesis of no error autocorrelation and LM-type test for the hypothesis of no remaining non-linearity. A Monte Carlo experiment was implemented to evaluate the performance of the proposed tests. Estimation by nonlinear least squares is considered. Finally, load data from New South Wales State in Australia`s electricity retail market is presented and will be used as a real example. Other models were used to compare the performance of the proposes model.

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Silva, Mauro Virgino de Sena e. "Equações de exportação para o açúcar brasileiro: um modelo de auto-regressão vetorial." Universidade de São Paulo, 2005. http://teses.usp.br/teses/disponiveis/11/11132/tde-20181127-162154/.

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O objetivo da presente pesquisa é estimar equações de exportação que expliquem o comércio internacional do açúcar brasileiro, com a finalidade de identificar as principais determinantes do desempenho exportador dessa commodity. Os modelos são estimados a partir de dados trimestrais para o período entre o quarto trimestre de 1995 e o quarto trimestre de 2003. A metodologia adotada é a análise de Auto-Regressão Vetorial, sendo consideradas as propriedades de integração e co-integração das séries utilizadas. Os testes de raiz unitária de Dickey-Fuller são utilizados para determinar a ordem de integração das séries, e o procedimento de Johansen para testar co-integração e propiciar as estimativas do(s) termo(s) de correção de erro. São ajustados modelos diferenciados por tipo de açúcar: branco e bruto. Uma vez que a produção doméstica de açúcar bruto se destina exclusivamente ao mercado externo e a Rússia é o principal destino para esse produto, ajustou-se um modelo reduzido baseado na definição das curvas de oferta e demanda de exportação, incluindo a renda da Rússia como a variável deslocadora da demanda externa por esse produto. Da mesma forma, dado que os países Árabes e africanos são os principais demandantes do açúcar branco, incluiu-se a renda desses países na função de demanda por exportações dessa commodity. No caso do açúcar branco, o modelo de exportação foi definido de forma a considerar as condições internas, uma vez que esse produto é também consumido no mercado doméstico Os sinais da matriz de coeficientes de relações contemporâneas no modelo estimado para o açúcar bruto apresentam sinais consistentes. O resultado da decomposição da variância do erro de previsão mostra que as variáveis de mercado externo, renda da Rússia e taxa de câmbio, são as que explicam a maior parte das variações no quantum exportado de açúcar bruto. Os sinais dos coeficientes da matriz de relações contemporâneas do modelo de vendas externas para o açúcar branco também apresentam-se todos de acordo com o esperado, com exceção da variável renda do Brasil. Esse resultado deve estar relacionado à proxy utilizada, o PIB, que pode estar captando a forte influência das exportações sobre o crescimento da economia brasileira nos últimos anos. Como esperado, as variáveis de mercado interno, renda do Brasil e preço doméstico, explicam a maior parte das variações no quantum exportado de açúcar branco. A despeito do número reduzido de observações disponíveis para o ajustamento dos modelos propostos, considerado uma limitação do presente trabalho, o objetivo principal, identificar os impactos de importantes condicionantes do desempenho exportador do açúcar brasileiro, foi alcançado
The aim of the present research is to estimate equations of exports which explain the Brazilian sugar international trade, with the purpose of identifying the main determinant of the exporting performance of this commodity. These analyses are carried out from quarter data for the period between the fourth quarter of 1995 and the forth quarter of 2003. The applied methodology is the analysis of vectorial Auto-regressions, being considered the integration and co-integration properties of the used series. Dickey-Fuller unity root tests are used to determine the series integration order, and Johansen procedure to test co-integration and to estimate error correction term. Specific models differed by sugar type are adjusted: raw and refined sugar. Due to the fact that the domestic production of raw sugar is directed exclusively to external markets and Russia is the main destination for this product, a reduced model for raw sugar exports based on supply and demand curves for exports was adjusted, including Russian income as the dislocating variable of the external demand for this product. In the same way, due to de fact that the Arabian and African countries are the main purchaser of the Brazilian refined sugar, their income was included in the function of demand for exports. Regarding the refined sugar, the exports model was adjusted in a way to consider the internal conditions, because this product is also consumed in the internal market. The coefficient matrix|signals of contemporary relations in the model for the raw sugar presented consistent signals The decomposition result of the forecast error variance shows that the external market variable, Russian income and exchange rate, are the ones which explains most of the variations in the exported quantum of raw sugar. The matrix coefficient signals of contemporary relations of the external sales model for the refined sugar are also shown according to what was expected, except for the Brazilian income variable. This result must be related to the proxy used, the Brazilian GDP, which may be receiving strong influences from the exports on the growth of the Brazilian economy in the last years. As expected, the internal market variables, Brazilian income and internal price, explain most of the variations in the exported quantum of refined sugar. In the spite of the reduced number of available observations to the proposed model adjustment, considered as limitation to this study, the main goal, to identify the impacts of important variables on the Brazilian sugar exporting performance, was reached

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Lobo, Luiz Fernando Araújo. "A criminalidade na Região Metropolitana de Salvador e sua relação intertemporal com o desemprego." reponame:Repositório Institucional da UFBA, 2007. http://www.repositorio.ufba.br/ri/handle/ri/8903.

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O presente trabalho está dividido em duas grandes partes: a primeira, focada em investigar o avanço do crime na Região Metropolitana de Salvador (RMS); e, a segunda parte, preocupada, única e simplesmente, em analisar, ainda na RMS, a tão polemizada relação entre crime e desemprego. Antes, no entanto, foi feita uma síntese das principais abordagens sobre os determinantes do comportamento criminoso e do progresso do crime e, ainda, uma análise dos trabalhos de autores que dedicaram atenção especial à conexão entre crime e desemprego. Após isso, analisou-se o comportamento e perfil de alguns tipos de crime na RMS de 1993 a 2002. A análise foi realizada dividindo-se a RMS em municípios de grande e de pequeno porte. Em termos gerais, a criminalidade nesse período cresceu mais nos municípios de grande porte que nos de pequeno porte. Em seguida, empregou-se a modelagem de Vetores Auto-regressivos e seus recursos – teste de causalidade de Granger, função de resposta a impulso e decomposição da variância – para investigar a relação entre crime e desemprego no contexto da RMS. Através dessa poderosa ferramenta foi possível avaliar os aspectos da relação entre crime e desemprego, as trajetórias dessas variáveis e o poder de explicação de uma sobre a outra. Nesta etapa buscou-se desvendar particularidades na relação entre crime e desemprego levando em consideração tipo do delito e porte dos municípios. Para tanto foram utilizados dados mensais da taxa de desemprego e dos delitos de furto e roubo, furto e roubo de veículos, outros crimes patrimoniais e do total de crimes. O período de referência, nesta fase, foram os meses de janeiro de 1999 a dezembro de 2002. Os resultados econométricos indicaram existência de um efeito dinâmico em que desemprego causa (no sentido Granger) cada um dos delitos analisados no grupo dos municípios de grande porte, enquanto que no caso dos municípios de pequeno porte não foram encontradas evidências de que desemprego causa crime. A análise da função de impulso-resposta mostrou que um choque de um desvio padrão na variável desemprego induz comportamentos diferenciados da variável crime que dependem do tipo de delito e do porte do município. A decomposição da variância, também, revelou que a relação entre crime e desemprego apresenta características próprias conforme tipo do delito e porte do município. Especificamente, a criminalidade parece ser influenciada mais fortemente pelo desemprego no grupo dos municípios de grande porte que no grupo dos de pequeno porte.
Salvador

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Scolari, Bruno Decimo. "Detecção de bolhas que estouram periodicamente no Brasil usando modelos auto-regressivos com limiar." reponame:Repositório Institucional da UnB, 2011. http://repositorio.unb.br/handle/10482/10779.

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Dissertação (mestrado)—Universidade de Brasília, Programa de Pós-Graduação em Economia, 2011.
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Em um mercado eficiente, o valor fundamental de uma ação corresponde ao valor presente dos dividendos pagos por essa ação. Na presença de bolhas racionais, o preço de mercado de uma ação é maior que o seu valor fundamental. A maior parte da literatura brasileira analisa a presença de bolhas financeiras por meio de testes de cointegração de Engler-Granger e de Johansen. Esses testes são capazes de detectar as bolhas do tipo explosivas, mas não as bolhas que estouram periodicamente (periodically collapsing bubbles). O presente trabalho testou a presença de bolhas que estouram periodicamente na Bolsa de Valores de São Paulo. Para detectá-las, foram usados modelos auto-regressivos com limiar do tipo Threshold Auto- Regressives (TAR) e Momentum Threshold Auto-Regressives (M-TAR), conforme metodologia proposta por Enders e Siklos (2001). Foram encontradas evidências desse tipo de bolha no período de 1994 a 2009 usando-se modelo M-TAR. _______________________________________________________________________________ ABSTRACT
In an Efficient market, the fundamental value of a stock equals the present value of its future dividends. In the presence of rational bubbles, the market price of a stock is higher than its fundamentals. The major part of Brazilian studies analyses the presence of financial bubbles using Engle and Granger Cointegration Tests and the Johansen Procedure. These tests are capable of detecting explosive bubbles, but not periodically collapsing bubbles. This paper investigates the presence of periodically collapsing bubbles in Brazilian stock market (Bovespa) using the Threshold Auto-Regressives and Momentum Threshold Auto-Regressives cointegration models proposed by Enders and Siklos (2001). Our results suggest the presence of periodically collapsing bubbles in the period from 1994 to 2009.

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Samaniego, Juana Rosa Lindo. "Abordagem clássica e bayesiana em modelos auto-regressivos com transformações de Box & Cox." Universidade de São Paulo, 2002. http://www.teses.usp.br/teses/disponiveis/55/55134/tde-18062015-110335/.

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Atualmente as projeções de demanda e ganho tornam-se variáveis importantes no processo de tomada de decisões para investimentos envolvendo custo e capital, em pesquisa de mercado envolvendo produtos de consumo, em pesquisa de populações e em qualquer outro tipo de previsões que tenham a ver com ganhos ou demandas futuras, por exemplo o volume de água que é preciso para ser gerada determinada quantidade de energia consumido por uma população através de um sistema de operação e planejamento de um sistema hidroelétrico, etc. Em resposta desse interesse muitos estudos examinaram a possibilidade de gerar previsões usando séries temporais, ajustando modelos mediante a metodologia de Box e Jenkins, porém estas séries sugeriam variabilidade maior em diferentes níveis, violando deste modo a suposição de variância constante na formulação dos modelos ARIMA. Nestas situações, é comum na prática, contemplar uma extensão destes modelos, assumindo que alguma transformação da série obedeça um modelo ARIMA, frequentemente são usadas transformações de Box e Cox, porém as previsões destas séries transformadas afeta as interpretações em quanto à série original. Uma abordagem combinada de métodos clássicos e bayesianos é apresentada no tratamento destas transformações, os quais estimam junto com os parâmetros do modelo a potência desta transformação, apresentamos também uma alternativa para examinar a estrutura das auto-covariâncias através do Polinómio de Hermite. A pergunta que surge é, se a incorporação destas transformações resulta numa melhora nas previsões. No caso particular apresentamos resultados em processos auto-regressivos. É feita uma aplicação destes métodos em séries de vazões medias mensais no Reservatório de Furnas.
Nowadays the demand and gain projections become important variables in the process of making decisions for investments involving cost and capital, regarding the market research involving consuming products, the population research and any other forecast research which deals with the earnings or the future demands as an example, the water volume which is necessary to generate a determined amount of energy to be consumed by a population through the operation and planning system of a hydroelectric system and so on. In order to answer this demand a lot of studies examined the possibility to generate forecasts by using the time series, and by adjusting the models used in the Box and Jenkins methodology, however, these series suggested a larger variability in different leveis, and therefore violating the constant variance supposition in the ARIMA models formulation. Considering these situations, it is common in the practice to contemplate na extension of these models, assuming that some of these series transformation will follow the ARIMA model. Frequently the Box and Cox transformations are used; however, the forecasts of these transformed series affects the interpretation regarding the original series. An approach combining the classical and bayesian methods is introduced to the consideration of these transformation, which allows us to estimate, along with the parameters of the model, the power of this transformation. Also, we present an option to examine the structure of the autocovariances through the Hermite polynomials. The question that arises is, if the incorporation of these transformations will result in an improvement in the forecasts. Considering this particular case we present results in the auto-regressive processes. An application of these methods is made in a regular flow series measured monthly at Reservoir of Furnas.

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Araújo, Olegário da Cruz de. "In-store attractiveness of national brands and private labels in an emerging market." reponame:Repositório Institucional do FGV, 2018. http://hdl.handle.net/10438/20705.

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Emerging markets are considered relevant for international manufacturers and retailers to grow their turnovers. In order to achieve their goals, manufacturers and retailers are executing different initiatives to attract new customers such as in-store promotions. However, both in the US and here in Brazil, the results of these actions are questioned. Retailers are also investing in their Private Labels (PLs), which can alter the competitive dynamics within the categories. In the United States and Europe, studies were conducted to assess in-store promotions, impulses and responses in short-term and long-term sales for National Brands (NBs) and also Private Labels (PLs). The research question of this study was to evaluate if in Brazil, an emerging market, the attractiveness of Weighted Distribution, Price and Promotions of National Brands and Private Labels provide similar responses to the impulses. In order to evaluate if the impulses provide long-term residual effects for National Brands (NBs) and Private Labels (PLs), Vectors of Auto Regression (VAR) model was used in a continuous panel of self-service food stores in Greater São Paulo, which is the main metropolitan region of Brazil. The databases by categories (powdered coffee, biscuit, and ready-to-serve fruit juice) contained information of 25 months (November 2013 to November 2015) for each variable (Weighted Distribution, Price and Promotions), by NBs and PLs. The result of this study points out that there is a difference in responses to the impulses (distribution, price, and promotions) between NBs and PLs. National Brands (NBs) showed a greater number of situations with positive residual effects on long-term sales. However, the long-term response on sales occurred only for less than the half of the total potential situations. In other words, more than half of the total potential situations give an absence of statistical significance. The study indicates that there are retailers developing differentiated actions with Private Labels and obtaining, in their sales, positive long-term residual effects. Although modestly, this study contributes to the retail literature by using an econometric model (VAR) to analyze the impulse in some in-store attractiveness variables their long-term sales response to NBs and PLs in an emerging market. In short, the main contribution from the observations of the analyzed categories is that it is possible to Private Label compete without price sensibility and also positioning PL above the average price of the category/segment. The results also suggest that there is an opportunity to review the modus operandi of in-store promotion to get better results.
Mercados emergentes são importantes para as receitas totais de fabricantes e varejistas internacionais. Estudos de companhias globais de pesquisa, que atuam no Brasil, apontam que os investimentos em ações promocionais no ponto-de-venda, pelas Marcas de Fabricantes, aumentaram, mas há questionamentos quanto ao retorno destas iniciativas. Os varejistas também têm investido em Marcas Próprias. Nos Estados Unidos e Europa há vários estudos sobre o estímulos dentro do ponto-de-venda para as Marcas dos Fabricantes e Marcas Próprias e o impacto nas vendas no curto e longo prazo. O objetivo central deste estudo é avaliar se, em um mercado emergente, o nivel de atratividade das ações realizadas pelas Marcas de Fabricantes e Marcas Próprias dentro das lojas proporcionam respostas similares de curto e longo prazo aos impulsos realizados. Para analisar os efeitos destes impulsos foi utilizado o modelo de Vetores de Auto Regressão (VAR) em um painel continuo de lojas de autosserviço alimentar, na principal região metropolitana do Brasil, a Grande São Paulo. As bases de dados por categoria (Café em Pó, Biscoito e Suco Pronto para Consumo), continham informações de 25 meses (novembro de 2013 à novembro de 2015), com dados de distribuição ponderada, preço e promoções, O resultado deste estudo aponta que há diferenças entre Marcas de Fabricantes e Marcas Próprias nas respostas de longo prazo aos estímulos promocionais. Embora as Marcas de Fabricantes tenham apresentado um maior número de situações com efeitos residuais positivos nas vendas de longo prazo do que as Marcas Próprias, apenas menos da metade das situações apresentaram resultados de longo prazo. O estudo também sinaliza que há varejistas desenvolvendo ações diferenciadas com Marcas Próprias e obtendo, em suas vendas, efeitos residuais positivos de longo prazo, na mesma intensidade das Marcas de Fabricantes. Embora de forma modesta, esta pesquisa contribui para a literatura ao utilizar um modelo econométrico (VAR) para analisar os impulsos aplicados em distribuição, preço e promoção das Marcas dos Fabricantes e das Marcas Próprias em um mercado emergente. A principal contribuição deste estudo, a partir das categorias analisadas, é que a Marca Própria, não necessariamente, precisa atuar apenas com um posicionamento de preço baixo e/ou reduzir preços para competir dentro da categoria ou segmento no qual está inserida. Além disto, o estudo também sugere que as há espaço para rever as práticas promocionais ou até operacionais, considerando o baixo retorno proporcionado para Marcas de Fabricantes e Marcas Próprias.

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Santos, Daiane Rodrigues dos. "Evidência sobre o conteúdo informacional da estrutura a termo da taxa de juros no Brasil: relação entre a ETTJ e a dinâmica econômica." Universidade Federal do Espírito Santo, 2011. http://repositorio.ufes.br/handle/10/6008.

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O presente trabalho pretende discutir a relação entre o spread, diferença entre a taxa de juros de longo e curto prazos, e a dinâmica econômica. Especificamente, estudar como o spread influencia a taxa real de crescimento do PIB, ressaltado por autores como Harvey (1988), Sims (1972), Bernand e Gerlach (1996) e Estella (2004), entre outros. Verificou-se nas saídas do modelo VAR(6) que a Produção Industrial brasileira é apenas fracamente influenciada pelo spread. No entanto, verificou-se que o spread é fortemente influenciado pela Produção Industrial, relação esta não realçada pelos autores do referencial teórico. Apurou-se também que o spread é fortemente influenciado pelo IPCA, que por sua vez ´e influenciado fortemente pelo spread, confirmando a relação dinâmica ressaltada por Sims (1972), Shousha (2006), Nielsen (2006), entre outros. Nas saídas do modelo dinâmico, VAR(6), também se verificou que o IPCA é fortemente influenciado pela Produção Industrial, que, por sua, vez é fracamente influenciada pela série composta pelo IPCA.
The work aims at identifying the relationship between the spread, difference of the long term interest rate in relation to the short term interest rate, and the economic dynamic. Specifically, it studies how the spread has impacted on the gross domestic product real growth rate, phenomenon pointed out by authors such as Harvey (1988), Sims (1972), Bernard & Gerlach (1996) and Estrella (2004), among others. It was verified, in the model VAR (6), that the Brazilian industrial production is weakly influenced by the spread. However, it was observed that the last one is strongly determined through the industrial production. This result is not found in the adopted theoretic approach. Additionally, it was verified that the spread is highly determined from the IPCA, which is, in its turn, strongly influenced through the spread, confirming the relations showed in Sims (1972), Shousha (2006), Nielsen (2006), among others. In the statistics of the dynamic model, VAR (6), it also presented an expressive effect from the industrial production on the IPCA, which, by contrast, is not significantly determining the industrial activity in the sample period

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Vasconcelos, Joana Brito Mexia de Almeida. "Modelos auto regressivos para contrastes na avaliação genética de bovinos leiteiros: consequencias da sua aplicação." Tese, Instituto de Ciências Biomédicas Abel Salazar, 2007. http://hdl.handle.net/10216/7277.

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Lopes, Paulo SÃrgio Barroso. "AvaliaÃÃo do Desempenho Preditivo de Modelos Auto-Regressivos na ArrecadaÃÃo do IPVA de VeÃculos Novos." Universidade Federal do CearÃ, 2010. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=6346.

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O Imposto sobre a Propriedade de VeÃculos Automotores (IPVA), nos Ãltimos dez anos, tem apresentado crescimento expressivo, motivado pelas polÃticas econÃmicas e fiscais que estimularam o aumento do consumo de veÃculos. O IPVA, ocupando o segundo lugar no volume de arrecadaÃÃo de tributos do estado, tem importante papel no custeio da mÃquina pÃblica municipal e estadual, razÃo esta que levou a elaboraÃÃo desse trabalho. A administraÃÃo pÃblica, ao dispor de modelos de previsÃo, poderÃ avaliar o comportamento da arrecadaÃÃo desse importante imposto, como forma de identificar qual a modelagem que mais se adÃqua na previsÃo dessa receita. O presente estudo Ã pioneiro no Brasil, pois trata da avaliaÃÃo do desempenho preditivo de arrecadaÃÃo do IPVA de veÃculo novo, com a utilizaÃÃo de modelos auto-regressivos, com e sem componentes sazonais. Os registros da arrecadaÃÃo de IPVA de veÃculo novo foram extraÃdos do Sistema IPVA, da Secretaria da Fazenda do Estado do CearÃ, e consta o perÃodo de janeiro de 1999 a marÃo de 2010, no total de 135 (cento e trinta e cinco) meses. Os modelos sÃo avaliados com base nas previsÃes para os perÃodos de alta na arrecadaÃÃo (de janeiro a marÃo) e no perÃodo de baixa da arrecadaÃÃo (de maio a julho). A sÃrie foi deflacionada pelo INPC-CE visando identificar as variaÃÃes reais positivas ou negativas, sem a inflaÃÃo. A sazonalidade Ã uma das principais caracterÃsticas apresentadas na sÃrie estudada. O desempenho das previsÃes a partir das combinaÃÃes desses modelos serÃ, tambÃm, avaliado. A modelagem foi composta de 6 (seis) modelos acrescidos de variÃveis de tendÃncia, de dummies e de componente sazonal SAR(12), mais 3 (trÃs) outros modelos combinados.
The Tax on Motor Vehicles (property taxes) in the last ten years has shown significant growth, driven by economic and fiscal policies that encouraged increased consumption of vehicles. The property taxes rank second in volume of tax collections for the state, has an important role in the funding of municipal and state machine, the reason that led the preparation of this work. The government to dispose of forecasting models can evaluate the behavior of this important tax revenue as a way to identify which model that best suits in anticipation of this recipe. This study is a pioneer in Brazil, as evaluates the predictive performance of collection of property taxes from new vehicle, with the use of autoregressive models, with and without seasonal components. The records of the collection of property taxes from new vehicle has been taken from System property taxes, the Finance Secretary of the State of CearÃ, and set the period from January 1999 to March 2010, a total of 135 (one hundred thirty-five) months. The models are evaluated on the bases for forecasts in periods of high inflow (January to March) and the low period of collection (May-July). The series was deflated by the INPC-CE to ideentify the real changes positive or negative, without inflation. Seasonality is a major feature in the series studied. The performance of the forecasts from combinations of these models will also be evaluated. The model was composed of six (6) models, plus variables for trend, seasonal dummies and component SAR (12), 3 (three) other models combined.

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Gomes, Maria Helena Rodrigues. "Uso da abordagem Bayesiana para a estimativa de parâmetros sazonais dos modelos auto-regressivos periódicos." Universidade de São Paulo, 2003. http://www.teses.usp.br/teses/disponiveis/18/18138/tde-06012016-113635/.

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O presente trabalho tem por finalidade o uso da abordagem bayesiana para a estimativa de parâmetros sazonais dos modelos periódicos auto-regressivos (PAR). Após a determinação dos estimadores bayesianos, estes são comparados com os estimadores de máxima verossimilhança. A previsão para 12 meses é realizada usando os dois estimadores e os resultados comparados por meio de gráficos, tabelas e pelos erros de previsão. Para ilustrar o problema as séries escolhidas foram as séries hidrológicas da Usinas Hidroelétricas de Furnas e Emborcação. Tais séries foram selecionadas tendo em vista a necessidade de previsões com reduzido erro já que o sistema de operação das usinas hidroelétricas depende muito da quantidade de água existente em seus reservatórios e de planejamento e gerenciamento eficazes.
The objective of this research is to use bayesian method to estimate of sazonal parameters of periodic autoregressive models (PAR). The bayesian estimators are then compared with maximum likelihood estimators. The forecast for 12 months is made by using two estimators and comparing their results though graphs, tables and forecast error. The hydrological time series chosen were from Furnas and Emborcação Hydroeletric Power Plant. These series were chosen having in mind the necessity of series with reduced error in their forecast because system of operation in the Hydroeletric Power Plant depends on the quantity of the water in their resevoirs, eficient planning and management.

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Vasconcelos, Joana Brito Mexia de Almeida. "Modelos auto regressivos para contrastes na avaliação genética de bovinos leiteiros: consequencias da sua aplicação." Doctoral thesis, Instituto de Ciências Biomédicas Abel Salazar, 2007. http://hdl.handle.net/10216/7277.

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Doornik, Bernardus Ferdinandus Nazar Van. "Modelagem econométrico-financeira de uma empresa baseada em vetores auto-regressivos : uma aplicação à Petrobrás S.A." reponame:Repositório Institucional da UnB, 2007. http://repositorio.unb.br/handle/10482/3149.

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Dissertação (mestrado)—Universidade de Brasília, Faculdade de Economia, Administração, Contabilidade e Ciência da Informação e Documentação, 2007.
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O trabalho relata esforços no sentido de desenvolver e estimar um modelo econométrico baseado em Vetores Auto-Regressivos (VAR) representativo das demonstrações financeiras de uma empresa. Embora o modelo possa ser generalizado para representar as demonstrações de qualquer empresa, o estudo foi conduzido na forma de um estudo de caso, onde a empresa escolhida é a maior das empresas brasileiras: a Petrobrás S.A. A metodologia utilizada faz uso de análise de correlação, testes de raiz unitária, análise de cointegração, modelagem VAR, testes de causalidade Granger, além de métodos de impulsoresposta e decomposição de variância. Além das variáveis endógenas pertencentes às demonstrações financeiras, um vetor de variáveis exógenas foi utilizado, incluindo o PIB brasileiro, as taxas de juros nacional e internacional, o preço internacional do petróleo, a taxa de câmbio e o risco-país. A versão final do modelo é um modelo do tipo Vetor de Correção de Erro (VEC), que leva em consideração as relações de cointegração entre as variáveis endógenas. Após estimação e validação, o modelo é utilizado para gerar projeções das demonstrações financeiras da empresa em estudo. Estimativas para as variáveis exógenas e para os dividendos são também utilizadas para estimar o valor de mercado da empresa. Os resultados são aparentemente robustos e podem trazer alguma inovação para a área de planejamento e de elaboração de projeções financeiras corporativas. __________________________________________________________________________________________ ABSTRACT
The paper reports efforts towards developing and estimating a Vector Autoregressive (VAR) econometric model representing the financial statements of a firm. Although the model can be generalized to represent the financial statements of any firm, the study was carried out as a case study, where the chosen firm is the largest Brazilian firm: Petrobrás S/A. The methodology utilized makes use of correlation analysis, unit root tests, cointegration analysis, VAR modeling, Granger causality tests, besides impulse response and variance decomposition methods. Besides the endogenous financial statement variables, a vector of exogenous variables was utilized, namely, the Brazilian GDP, the domestic and foreign interest rates, the international oil price, the exchange rate, and country risk. The final version of the model is a Vector Error Correction (VEC) model, which takes into account the cointegrating relations among the endogenous variables. After estimation and validation, the model is used to produce forecasts of the financial statements of the firm under study. Estimates for the exogenous variables and dividend forecasts were also used to estimate the firm’s market value. The results are apparently robust and might contribute with some innovation to the field of financial planning and forecasting.

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Günther, Moritz Philipp [Verfasser]. "Family system dynamics and type I diabetic glycemic variability : a vector-auto-regressive model / Moritz Philipp Günther." Gießen : Universitätsbibliothek, 2016. http://d-nb.info/1083680811/34.

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Garcia, André Gustavo Nogueira. "Representação do processo estocástico de energias afluentes por modelos auto-regressivos periódicos no planejamento de sistemas hidrotérmicos." Florianópolis, SC, 2005. http://repositorio.ufsc.br/handle/123456789/102569.

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Dissertação (mestrado) - Universidade Federal de Santa Catarina, Centro Tecnológico. Programa de Pós-Graduação em Engenharia Elétrica.
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Cavallucci, Martina. "Analisi Predittive nella Gestione di Flotte di Auto Aziendali con Metodi di Data Science." Bachelor's thesis, Alma Mater Studiorum - Università di Bologna, 2019. http://amslaurea.unibo.it/18095/.

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L'attività che ha condotto allo sviluppo di questa tesi è iniziata con un tirocinio presso l'Azienda Global Sistemi che si occupa di software di gestione di flotte aziendali. In particolare l'azienda tramite dispositivi elettronici è in grado di controllare i percorsi che le singole unità di un parco auto possono effettuare. L'interesse aziendale riguarda l'ottimizzazione delle risorse, in particolare si è posta l'attenzione sui costi che una singola auto comporta annualmente, tale argomento non riguarda in primis l'azienda in cui ho svolto il tirocinio, bensì l'interesse dei propri clienti che sono i possessori del parco auto. Mi sono stati forniti perciò i dati di alcuni clienti, ma spesso presentavano dati mancanti nelle variabili di interesse. Il lavoro, quindi, si occupa di analizzare tali informazioni e prevedere con metodi di Data Science il loro andamento, per poter fornire previsioni future utili a decisioni aziendali. La tecnica utilizzata è quella della regressione, utile per analizzare una serie di dati che consistono in una variabile dipendente e una o più variabili indipendenti; il principio su cui si basa è servirsi delle informazioni del passato come strumento per la simulazione del futuro. Per la loro versatilità la tecniche di regressione trovano impiego nel campo delle scienze applicate: chimica, fisica, ingegneria, nonché nelle scienze sociali: economia, psicologia e sociologia.

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Graham, Don. "A Comparative evaluation of FDSA,GA, AND SA NON-LINEAR PROGRAMMING ALGORITHMS and development OF SYSTEM-OPTIMAL METHODOLOGY FOR DYNAMIC PRICING ON I-95 Express." Doctoral diss., University of Central Florida, 2013. http://digital.library.ucf.edu/cdm/ref/collection/ETD/id/5940.

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As urban population across the globe increases, the demand for adequate transportation grows. Several strategies have been suggested as a solution to the congestion which results from this high demand outpacing the existing supply of transportation facilities. High –Occupancy Toll (HOT) lanes have become increasingly more popular as a feature on today's highway system. The I-95 Express HOT lane in Miami Florida, which is currently being expanded from a single Phase (Phase I) into two Phases, is one such HOT facility. With the growing abundance of such facilities comes the need for in- depth study of demand patterns and development of an appropriate pricing scheme which reduces congestion.This research develops a method for dynamic pricing on the I-95 HOT facility such as to minimize total travel time and reduce congestion. We apply non-linear programming (NLP) techniques and the finite difference stochastic approximation (FDSA), genetic algorithm (GA) and simulated annealing (SA) stochastic algorithms to formulate and solve the problem within a cell transmission framework. The solution produced is the optimal flow and optimal toll required to minimize total travel time and thus is the system-optimal solution. We perform a comparative evaluation of FDSA, GA and SA non-linear programming algorithms used to solve the NLP and the ANOVA results show that there are differences in the performance of the NLP algorithms in solving this problem and reducing travel time. We then conclude by demonstrating that econometric forecasting methods utilizing vector autoregressive (VAR) techniques can be applied to successfully forecast demand for Phase 2 of the 95 Express which is planned for 2014.
Ph.D.
Doctorate
Civil, Environmental, and Construction Engineering
Engineering and Computer Science
Civil Engineering

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GRIPA, W. R. "MODELO SAZONAL FRACIONÁRIO AUTO-REGRESSIVO INTEGRADO MÉDIA MÓVEL COM VOLATILIDADE: ESTUDO DE PREVISÃO DAS CONCENTRAÇÕES DE MATERIAL PARTICULADO." Universidade Federal do Espírito Santo, 2008. http://repositorio.ufes.br/handle/10/10211.

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Estudos com series temporais t^em sido amplamente utilizados em analises de dados ambientais. Este trabalho avalia as concentrac~oes diarias de Material Particulado Inalavel (PM10) para a Regi~ao da Grande Vitoria, ES, Brasil, para os anos de 2003 e 2004, utilizando processos SARFIMA-GARCH, modelos que capturam as propriedades de longa depend^encia, sazonalidade e volatilidade condicional variavel no tempo. Para veri-car a e-cacia da metodologia, realizou-se estudos de comparac~ao de predic~ao e previs~ao a modelos usuais da literatura, e os resultados evidenciaram que o modelo proposto, SARFIMAGARCH captou melhor variabilidade dos dados em termos do erro quadratico medio.

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Mota, Luciana Elizabeth da. "Estudo de comportamento dos preços da gasolina na Região Metropolitana do Recife : uma aplicação de modelos auto-regressivos." Universidade Federal de Pernambuco, 2005. https://repositorio.ufpe.br/handle/123456789/5923.

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Este estudo analisa inicialmente, a indústria de Petróleo, onde questões técnicas sobre o petróleo e a gasolina são analisadas, além de uma descrição de como são formados os preços da gasolina no Brasil .Em seguida faz-se uma resenha sobre os modelos desenvolvidos para estimação da assimetria nos preços da gasolina e do petróleo, ou seja, se os preços da gasolina respondem mais rapidamente às elevações do que aos declínios no preço do Petróleo. Finalmente é aplicada a metodologia desenvolvida por Nathan S. Balke, Stephen P. A. Brown e Mine K. Yucel para detectar assimetria na Região Metropolitana do Recife, onde concluiu-se que do período de janeiro de 2003 a novembro de 2004, os preços da gasolina não foram influenciados pelas flutuações nos preços do petróleo no mercado internacional, com isso a assimetria não foi identificada

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Paixão, Michel Augusto Santana da. "O Brasil e as energias renováveis: um estudo sobre as negociações de bens ambientais." Universidade de São Paulo, 2012. http://www.teses.usp.br/teses/disponiveis/11/11132/tde-23102012-142239/.

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A necessidade de mitigação dos danos ambientais e preservação do meio ambiente fez com que os países repensassem suas formas de produção e consumo, despontando, dentre outras, a preocupação de estimular a produção e o uso de bens ambientais em detrimento aos convencionais. Diante disso, questões sobre a definição e classificação de bens ambientais emergem nas negociações comerciais e se estendem aos meios acadêmicos, e, mais recentemente, se inserem no âmbito conceitual da Economia Verde. Frente a esse cenário e à evolução da discussão sobre os bens ambientais particularmente na Organização Mundial do Comércio (OMC), é importante debater o papel do Brasil como player nesse mercado. Isto porque o volume de exportação e, principalmente, importação desses bens pelo país é significativo, particularmente para as energias renováveis; e também pelo seu potencial de produção nesse setor, com significativos investimentos previstos para os próximos anos. O objetivo deste trabalho é avaliar a trajetória do saldo comercial brasileiro de energias renováveis, adotando como base a lista proposta pela OCDE para negociação no CTE-SS da OMC, e identificar as variáveis que afetam as importações e exportações desses bens no Brasil. Além disto, pretende-se discutir a questão tarifária para a balança comercial brasileira de bens ambientais, especificamente as energias renováveis. A abordagem metodológica utilizada tem como base Castro e Cavalcanti (1997), e emprega um VEC (Modelo de Autoregressão Vetorial com correção de Erro). O período de análise compreende janeiro de 2005 a dezembro de 2010, utilizando-se dados mensais. Além da análise das estatísticas de comércio internacional, discutiram-se os investimentos e projeções para o setor energético no Brasil e no mundo, com base nos relatórios feitos pela ONU e por consultorias independentes. O Brasil, com exceção do etanol, é um importador líquido de bens ambientais na categoria de energiais renováveis, considerada a lista de bens proposta pela OCDE no CTE-SS, sendo que esta pauta compreende basicamente equipamentos para a produção de energias renováveis. Se se levar em conta os relatórios de expansão da oferta enegética para as próximas décadas, elaboradas pelo Ministério de Minas e Energia, e a própria opção brasileira por depender mais de fontes renováveis, pode-se inferir que a importação desses equipamentos pode aumentar nos próximos anos. Os resultados do modelo proposto apontam que as variáveis explicam pouco mais de 41% dos fluxos comerciais brasileiros de energias renováveis para o modelo de exportação e pouco mais de 35% para o modelo de importação. No modelo de exportação dos bens ambientais, destaca-se o PIB mundial; enquanto o PIB brasileiro se destaca como variável relevante no modelo de importação. Com relação às tarifas, observa-se que a média tarifária incidente sobre os bens exportados pelo Brasil é superior à média tarifária sobre os bens que o Brasil importa, dando destaque à elevada tarifa sobre o etanol. Como principais conclusões observa-se que, primeiro, o Brasil carece em certa medida de uma indústria de equipamentos para produção de energias renováveis que atenda à sua demanda, e que gere capacidade competitiva de exportação. Segundo, as decisões políticas e acordos de redução da emissão de gases de efeito estufa, podem ter influenciado nos resultados do modelo, uma vez que o período proposto para a análise foi marcado por acordos e programas de promoção dos renováveis, tanto no âmbito internacional quanto no nacional. Portanto, para futuros trabalhos de modelagem do comércio de energias renováveis é interessante incorporar variáveis representativas desses acordos.
The need for mitigation of damages and preservation of the environment has led countries to rethink their ways of producing and consuming goods, which in turn, generates concern to encourage the production and use of environmental goods in detriment of conventional ones. Questions about definition and classification of environmental goods emerge in the commercial sector and extend to academic environment and, more recently, to the conceptual framework of the Green Economy. In this scenario and due to discussions over evolution of environmental goods particularly in the World Trade Organization (WTO), it is important to discuss the role of Brazil as a player in this market. This is because the volume of exports and especially imports of these goods throughout the country is significant, particularly for renewable energy. In addition, because Brazil has potential in this sector, with significant investment planned for the upcoming years. The objective of this study is to assess the trajectory of the trade surplus of renewable energy, taking as basis the list proposed by the OECD for negotiation in the CTE-SS WTO, and to identify the variables that affect imports and exports of these goods in Brazil. Moreover, we aim to discuss the issue concerning tariffs to the Brazilian balance of trade in environmental goods, specifically renewable energy. The methodological approach is based on Castro and Cavalcanti (1997), and employs a VEC (vector autoregression model with error correction). The analysis period ranges from January 2005 to December 2010, using monthly data. Besides the analysis of international trade statistics, we discussed the investments and projections for the energy sector in Brazil and abroad, based on reports made by the UN and independent consultants. Brazil, with the exception of ethanol, is a net importer of environmental goods in the category of renewable energy, based on the list of goods proposed by the OECD in the CTE-SS, and this agenda basically comprises equipment for the production of renewable energy. Reports of energy supply expansion for the upcoming decades, prepared by the Ministry of Mines and Energy, and the Brazilian option to rely more on renewable sources allow to infer that imports of such equipment may increase in the upcoming years. The results show that the variables of the proposed model explain just over 41% of Brazilian trade flows of renewable energy for the export model and just over 35% for the import model. The export model of environmental goods highlights the world\'s GDP, while Brazil\'s GDP stands out as a relevant variable in the model import. With regard to tariffs, it is observed that the average tariff, levied on goods exported by Brazil, is higher than the average tariff on goods that Brazil imports, where there is focus on high tariffs on ethanol. The main conclusions are that Brazil lacks a certain extent of industrial equipment for renewable energy production that meets its demands and increases export competitiveness. Second, political decisions and agreements to reduce emissions of greenhouse gases may have influenced the results of the model, since the proposed period of analysis was marked by agreements and programs to promote renewable energy, both internationally and nationally. Therefore, it is interesting to incorporate variables representing these agreements for future work on modeling trade of renewable energy.

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Dissertations / Theses on the topic 'Auto regression'

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